Clearing Rules
Table of Contents
PREAMBLE..................................................................................................................... 2
1.
INTERPRETATION ............................................................................................... 3
2.
MEMBERSHIP .................................................................................................... 12
3.
CLEARING OF CONTRACTS ............................................................................. 24
4.
MARGIN .............................................................................................................. 34
5.
RISK COMMITTEE.............................................................................................. 52
6.
MISCELLANEOUS .............................................................................................. 64
7.
DISCIPLINARY RULES....................................................................................... 78
8.
GENERAL GUARANTY FUND ........................................................................... 89
9.
ARBITRATION RULES ..................................................................................... 104
10-19.
[RESERVED].................................................................... 114
20. CREDIT DEFAULT SWAPS .............................................................................. 115
20A. CDS PORTABILITY RULES .............................................................................. 132
21. REGIONAL CDS COMMITTEES AND DISPUTE RESOLUTION PROCEDURES ...... 136
22. CDS PHYSICAL SETTLEMENT ....................................................................... 155
23-25.
[RESERVED].................................................................... 171
26. CLEARED CDS PRODUCTS ............................................................................ 172
Schedule 401: Eligible Collateral & Thresholds ........................................................... 281
Schedule 503: Form of Risk Committee Confidentiality Agreement ............................ 282
Schedule 511: Form of Risk Management Subcommittee Confidentiality Agreement 287
Schedule 702: Schedule of Assessments for Missed Price Submissions ................... 290
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Rules of
ICE Clear Credit LLC
PREAMBLE
The Board shall have sole responsibility for the control and management of the
operations of ICE Clear Credit, subject only to the prior consultation rights of the Risk
Committee and the Risk Management Subcommittee as described in Chapter 5 of, and
elsewhere in, these Rules.
Participants shall explicitly contract to be bound by these Rules, and ICE Clear Credit
will retain the right to modify these Rules and the ICE Clear Credit Procedures (as
defined herein) from time to time in its sole discretion, subject to the prior consultation
with the Risk Committee and the Risk Management Subcommittee with respect to only
those modifications for which such consultation is prescribed in Chapter 5 of, and
elsewhere in, these Rules.
Prior to modifying these Rules or materially modifying the ICE Clear Credit Procedures
with respect to matters for which prior consultation with the Risk Committee or the Risk
Management Subcommittee is not required, ICE Clear Credit will inform and may
consult with the Risk Committee or the Risk Management Subcommittee and, taking
into account the legal requirements of the Participants, will use good faith efforts to
ensure that such modifications would not result in any Participant failing to be in
compliance with laws or regulations applicable to such Participant.
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Page 2
1.
INTERPRETATION
101.
Scope and Interpretation.
(a)
(b)
The Rules set forth herein are applicable to Trades and related obligations
arising out of Contracts. In the event of a conflict between these Rules generally
and the Rules adopted by ICE Clear Credit specifically governing Trades and
related obligations made on a particular Market or with respect to particular
Contracts, the Rules specifically governing such Market or Contracts will prevail.
More particularly:
(i)
The Rules in Chapters 1 – 8 are supplemented for specific Markets and
Contracts by the Rules in Chapters 20 et seq. (Thus, for example, the
definitions in Rule 102 are supplemented, for purposes of Chapter 20,
by the additional definitions in Rule 20-102.) The Rules in Chapters 20
et seq. shall apply only to the Market or Contracts specified in the
caption to such Chapter.
(ii)
Where the numbering of a Rule in Chapters 20 et seq. corresponds to
that of a Rule in Chapters 1 – 8, the Rule in Chapters 1 – 8 is
superseded to the extent applicable by the correspondingly numbered
Rule in Chapter 20 et seq. (Thus, for example, references in Chapter 20
to the term “Default” mean a Default established in accordance with
Rule 20-605.)
(iii)
Where a Rule in Chapter 20 et seq. is “[Reserved],” the correspondingly
numbered Rule in Chapters 1 – 8 is made expressly inapplicable to the
Market or Contracts that are the subject of such Chapter.
In these Rules, unless a clear contrary intention appears, (i) the singular number
includes the plural number and vice versa, (ii) reference to the masculine,
feminine or neuter gender includes each other gender, (iii) any reference to a
number of days shall mean calendar days unless ICE Business Days or other
business days are specified, (iv) any reference to a time shall mean the time in
New York, New York and (v) any reference to “dollars” or “$” shall mean U.S.
dollars. Except as otherwise specifically provided in these Rules, an act that
otherwise would be required or permitted by these Rules to be performed on a
day that is not an ICE Business Day may be performed on the next day that is
an ICE Business Day.
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102.
Definitions.
Affiliate
With respect to a particular entity, any entity that directly, or indirectly through
one or more intermediaries, Controls, is Controlled by, or is under common
Control with, that particular entity.
Authorized Trade Execution/Processing Platform
A designated contract market, swap execution facility, national securities
exchange, security-based swap execution facility, trade processing facility or
other similar service or platform authorized by ICE Clear Credit in accordance
with Rule 314 to submit Trades (whether executed on such an execution facility,
market or exchange, executed bilaterally or executed in another manner
permitted by law) to ICE Clear Credit for clearing.
Backloaded Trade
A Trade submitted pursuant to Rule 301(c) and identified as such in a manner to
be specified by ICE Clear Credit that is intended to replace and backload an
existing agreement on terms equivalent to a Contract either (i) between two
Participants for their own accounts or (ii) to which a Non-Participant Party is
party, where the relevant Participant is acting for such Non-Participant Party (a
“Backloaded Client Trade”).
Board
The Board of Managers of ICE Clear Credit.
Broker-Dealer
A broker or dealer registered with the SEC.
Business Conduct Committee
The Business Conduct Committee of ICE Clear Credit whose composition, rights
and responsibilities are described in Chapter 7 of these Rules.
Cash Margin
The meaning specified in Rule 402(a)
CEA
The U.S. Commodity Exchange Act, as amended.
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CFTC
The U.S. Commodity Futures Trading Commission.
Chief Executive Officer
The Chief Executive Officer of ICE Clear Credit.
Client Omnibus Margin Account
Any account or accounts maintained by or on behalf of ICE Clear Credit with
respect to a Participant for the purposes of holding on an omnibus basis Margin
posted by a Participant in respect of Client-Related Positions (including margin of
Non-Participant Parties posted to that Participant in respect of such margin
requirement or property of a Participant posted in lieu thereof in accordance with
these Rules).
Client-Related Initial Margin
Initial Margin with respect to Client-Related Positions.
Client-Related Position
An Open Position identified as such at the time the related Trade is submitted by
an FCM Participant (in the case of a swap) or a Broker-Dealer Participant (in the
case of a security-based swap) to ICE Clear Credit in accordance with Rules 301
and 302, where such related Trade, at the time established, is entered into by the
Participant for a Non-Participant Party. ICE Clear Credit will rely on a
Participant’s designation of an Open Position as a Client-Related Position for
purposes of these Rules. To the extent permitted by law, a Client-Related
Position will include such an Open Position entered into by an FCM Participant or
a Broker-Dealer Participant for another Person (which Person may, but need not,
be an Affiliate of that Participant or of another Participant) that is itself acting for
one or more Non-Participant Parties with respect to such Open Position (such
Person in such case, a “Client-Carrying Broker”).
Closing-out Process
In connection with the Default of a Participant, the process of termination of Open
Positions, determination of amounts owing with respect thereto, netting of such
amounts, liquidation and application of any Margin and/or Collateral and
application of Default Portability Rules pursuant to Rule 20A-02, if applicable, in
each case as contemplated by these Rules.
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Collateral
At any time, such funds or other property Transferred by a Participant to ICE
Clear Credit for the General Guaranty Fund pursuant to title transfer or pledge
(and not released by ICE Clear Credit), in accordance with these Rules and the
ICE Clear Credit Procedures.
Conforming Trade
The meaning specified in Rule 309.
Contracts
An agreement, contract, or transaction that is specifically identified in these Rules
as a Contract.
Control
With respect to the relationship between or among two or more Persons, the
possession, directly or indirectly or as trustee, personal representative or
executor, of the power to direct or cause the direction of the affairs or
management of a Person, whether through the ownership of voting securities, as
trustee, personal representative or executor, by contract, credit arrangement or
otherwise.
Default
Any event that would constitute a Default under Rule 20-605 or the
corresponding Rule in any Market or Contract-specific Chapter of these Rules.
Eligible Margin
The meaning specified in Rule 401(d).
Eligible Officer
Any officer of ICE Clear Credit designated by the Board from time to time for
purposes of the applicable determination, decision or other action contemplated
by these Rules.
Emergency
The meaning specified in Rule 601.
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Excess Net Capital
For a Participant that is an FCM or a Broker-Dealer, its “excess net capital” as
reported on its Form 1-FR-FCM or FOCUS Report or as otherwise reported to
the CFTC under CFTC Rule 1.12. For a Participant that is not an FCM or a
Broker-Dealer, the amount, if any, by which its Adjusted Net Capital exceeds the
capital requirement that would be applicable to it if it were an FCM, as
determined pursuant to a methodology acceptable to ICE Clear Credit.
FCM
A futures commission merchant registered with the CFTC.
General Guaranty Fund
At any time, funds or other property set aside and recorded on the books of ICE
Clear Credit in support of the Obligations of Participants in respect of all
Contracts.
House Margin Account
Any account or accounts maintained by or on behalf of ICE Clear Credit with
respect to a Participant for the purposes of holding Margin for House Positions of
that Participant.
House Position
An Open Position of a Participant that is not a Client-Related Position. For the
avoidance of doubt, Open Positions resulting from Trades submitted for the
account of an Affiliate of a Participant shall be House Positions.
ICE Business Day
Any day (other than Saturdays, Sundays and holidays observed by ICE Clear
Credit) on which ICE Clear Credit is open for business. References in these
Rules to a “day” or “ICE Business Day” shall, unless the context otherwise
requires, mean the “ICE Business Day” corresponding to the trading day
declared by the relevant Market, if applicable.
ICE Clear Credit
ICE Clear Credit LLC, a Delaware limited liability company (formerly ICE Trust
U.S. LLC).
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ICE Clear Credit Procedures
The policies, procedures and other provisions established by ICE Clear Credit
relating to clearing of Contracts, as amended from time to time.
Initial Payment
The meaning specified in Rule 301(b).
Margin
Initial Margin (including Portfolio Risk Margin, Physical Settlement Margin and
Super and Special Margin) and Mark-to-Market Margin (each as defined in Rule
403 or 404) Transferred or Transferable by or to a Participant to or by ICE Clear
Credit.
Margin Accounts
Each Participant’s House Margin Account and Client Omnibus Margin Account.
Margin Category
The meaning specified in Rule 401(a).
Margin Requirement
The meaning specified in Rule 401(a).
Markets
A market that is party to an agreement with ICE Clear Credit for the provision of
clearing services and that is specifically identified in these Rules as a Market.
Non-Participant Party
A Person that is not ICE Clear Credit, a Participant or an Affiliate of a Participant
(provided that a Client-Carrying Broker (including a Client Carrying Broker that is
an Affiliate of a Participant) acting in its capacity as such will be deemed a NonParticipant Party for purposes of the Rules). Non-Participant Parties include,
without limitation, a “cleared swaps customer” as defined in CFTC Rule 22.1
(other than a holder of a cleared swaps proprietary account as defined in such
rule).
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Non-Participant Party Portfolio
The portfolio of rights and obligations under Client-Related Positions allocated to
a particular Non-Participant Party in the books and records of ICE Clear Credit
for purposes of CFTC Rule 22.15.
Novation Time
The meaning specified in Rule 309.
Obligations
All obligations of a Participant arising under these Rules or any agreements
between such Participant and ICE Clear Credit, in each case however created,
arising or evidenced, whether direct or indirect, absolute or contingent, existing,
due or to become due.
OFAC
The meaning specified in Rule 208.
Open Positions
A Participant’s open positions in Contracts with ICE Clear Credit created
pursuant to Rule 301 or as otherwise provided in these Rules and not offset
pursuant to Rule 304 or closed pursuant to the Closing-out Process. Both ClientRelated Positions and House Positions shall constitute Open Positions for the
purposes of these Rules.
Parent
The meaning specified in Rule 205.
Participant
A person that has been approved by ICE Clear Credit for the submission of
Contracts and that is party to an agreement with ICE Clear Credit specifically
relating to transactions in Contracts (a “Participant Agreement”).
Participant’s Required Segregated Customer Funds
The meaning specified in Rule 201.
Person
An individual, sole proprietorship, partnership, limited liability company,
association, firm, trust, corporation or other entity, as the context may require.
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President
The President of ICE Clear Credit.
Retiring Participant
A Participant who has notified ICE Clear Credit pursuant to the terms of its
Participant Agreement of its intention to terminate its status as a Participant or
who has been notified by ICE Clear Credit pursuant to the terms of its Participant
Agreement or these Rules of ICE Clear Credit’s intention to terminate its status
as a Participant.
Risk Committee
The Risk Committee of ICE Clear Credit whose composition, rights and
responsibilities are described in Chapter 5 of these Rules.
Risk Management Subcommittee
The Risk Management Subcommittee of the Risk Committee whose composition,
rights and responsibilities are described in Chapter 5 of these Rules.
Rule
References to a “Rule” or “Rules” are references to the Rules of ICE Clear
Credit.
SDN List
The meaning specified in Rule 208.
SEC
The U.S. Securities and Exchange Commission.
Securities Exchange Act
The U.S. Securities Exchange Act of 1934, as amended.
Termination Event
The meaning specified in Rule 207.
Trades
Transactions in Contracts.
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Trading Activity Limitation
The meaning specified in Rule 203.
Transfer
(a)
With respect to any Margin, Collateral or other assets required to be
delivered by a Participant to ICE Clear Credit (i) in the case of cash,
payment or delivery by wire transfer into one or more bank accounts
specified by ICE Clear Credit (which may be a relevant Margin Account),
(ii) in the case of securities or other financial assets that can be paid or
delivered by book-entry, the crediting of such securities or other financial
assets to a securities account specified by ICE Clear Credit (which may be
a Margin Account), and (iii) in the case of neither cash nor securities or
other financial assets that can be paid or delivered by book-entry, in
accordance with the instructions of ICE Clear Credit; and
(b)
With respect to any Margin, Collateral or other assets required to be
delivered by ICE Clear Credit to a Participant, in any manner specified
herein including, without limitation, (i) in the case of Mark-to-Market
Margin, by crediting such Margin to such Participant’s House Margin
Account or Client Omnibus Margin Account, as applicable, deeming such
Margin as having been Transferred by such Participant to ICE Clear Credit
and making such Margin available for withdrawal by the Participant, in
accordance with the ICE Clear Credit Procedures, (ii) in the case of Initial
Margin, making such Margin in such Participant’s House Margin Account
or Client Omnibus Margin Account, as applicable, at ICE Clear Credit
available for withdrawal by the Participant, in accordance with the ICE
Clear Credit Procedures, and (iii) in the case of other property to be
returned to a Participant from a Client Omnibus Margin Account in
accordance with Rule 406, by making such property available for
withdrawal in accordance with the ICE Clear Credit Procedures.
Value
The meaning specified in Rule 401(e).
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2.
MEMBERSHIP
201.
Qualifications of Participants.
(a)
ICE Clear Credit shall determine whether any applicant for status as a
Participant, or any existing Participant, satisfies the qualifications established by
ICE Clear Credit. Only Persons found by ICE Clear Credit to be so qualified shall
be permitted to become or remain, as applicable, Participants. For the purpose of
determining whether any applicant or Participant is thus qualified, ICE Clear
Credit may establish minimum capital and other financial requirements for
Participants, examine the books and records of any applicant or Participant (on
the site of such applicant or Participant, during normal business hours, with
reasonable advance notice, and, in the case of a Participant, not more frequently
than annually unless ICE Clear Credit determines that a more frequent
examination of the Participant is appropriate for the protection of the clearing
system operated by ICE Clear Credit pursuant to these Rules), and take such
other steps as it may deem necessary to ascertain the facts bearing upon the
question of qualification. The Risk Management Subcommittee will have certain
consultation rights over any Modification (as defined in Rule 502) to the
qualifications for Participants contemplated by this Rule 201.
(b)
Participants must meet and maintain such standards of business integrity,
financial capacity, creditworthiness, operational capability, experience and
competence as may be established by ICE Clear Credit from time to time.
Without limitation of the foregoing, no applicant shall be admitted or permitted to
remain, as applicable, as a Participant unless, in ICE Clear Credit’s sole
determination:
(i)
It is regulated for capital adequacy (the “Regulatory Requirement”) by a
competent authority such as the CFTC, SEC, Federal Reserve Board,
Office of the Comptroller of the Currency, European Securities and
Markets Authority, U.K. Prudential Regulatory Authority or any other
regulatory body ICE Clear Credit designates from time to time for this
purpose, or it is an Affiliate of an entity that satisfies the Regulatory
Requirement and is subject to consolidated holding company group
supervision;
(ii)
It has a minimum of $50 million of Adjusted Net Capital (provided that this
requirement may, at the discretion of ICE Clear Credit, be met by a
Parent if such Parent provides a guarantee pursuant to Rule 205);
For purposes of this clause (ii):
“Adjusted Net Capital” (A) for a Participant that is an FCM, shall be as
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defined in CFTC Rule 1.17 and as reported on its Form 1-FR-FCM or
FOCUS Report or as otherwise reported to the CFTC under CFTC Rule
1.12, (B) for a Participant that is not an FCM but is a Broker-Dealer, shall
be its “net capital” as defined in SEC Rule 15c3-1 and as reported on its
FOCUS Report, and (C) for a Participant that is neither an FCM nor a
Broker-Dealer, shall be the amount of its net capital as determined
pursuant to a similar risk adjusted capital calculation methodology
acceptable to ICE Clear Credit;
(iii)
At the time of admission, it demonstrates to the Board, upon
recommendation by ICE Clear Credit senior management after
consultation with the Risk Management Subcommittee, that it (or, if a
Parent has provided a guarantee of its obligations pursuant to Rule 205,
its Parent) satisfies the internal stringent credit criteria established by the
Board in its discretion, such satisfaction to be confirmed by an
examination of its books and records;
(iv)
At no time after admission does it (or, if applicable, its Parent) cease to
satisfy the internal credit criteria established by the Board under clause
(iii) above, after consultation with the Risk Management Subcommittee,
upon its admission;
(v)
It demonstrates that it has sufficient financial ability to make its
anticipated General Guaranty Fund contributions and provide Margin as
required by these Rules, and it makes and maintains, so long as it is a
Participant, a deposit or deposits of Collateral in the General Guaranty
Fund as required by these Rules;
(vi)
It (on its own or through an arrangement acceptable to ICE Clear Credit)
demonstrates operational capacity with respect to agreements (whether
or not cleared) substantially similar (as determined by ICE Clear Credit)
to Contracts, including (A) having the ability to process the expected
volumes and values of Contracts within the required time frames
(including at peak times and on peak days), (B) having the ability to
submit required pricing data within the required time frames and (C)
maintaining back-office facilities (or entering into a facilities management
agreement in form and substance acceptable to ICE Clear Credit):
(1)
remote from both the exchange floor and/or trading desks;
(2)
with adequate systems (including but not limited to computer and
communication systems) and records;
(3)
with adequate number of competent personnel with sufficient
operational background and experience with procedures for the
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management and clearance of business transacted in the Markets
and Contracts in which the Participant will participate; and
(4)
(c)
with such equipment (including computer software and hardware)
as may be required by ICE Clear Credit.
(vii)
It (on its own or through an arrangement acceptable to ICE Clear Credit)
demonstrates risk management competence in such agreements and
Contracts;
(viii)
[Intentionally omitted.]
(ix)
It has established relationships with, and has designated to ICE Clear
Credit, an approved settlement bank for confirmation and payment or
delivery, as applicable, of all Margin and any other payments or deliveries
required to be made by it to or from ICE Clear Credit, or has made
alternate arrangements to facilitate such payments and deliveries in a
timely manner and in accordance with these Rules and the ICE Clear
Credit Procedures;
(x)
It has established relationships with one or more swap data repositories
and/or security-based swap data repositories as necessary for reporting
its cleared Contracts in accordance with applicable law;
(xi)
It provides in a timely manner all reports and information relating to the
Participant, Persons controlling the Participant, and related or affiliated
organizations as required by these Rules or otherwise required by ICE
Clear Credit, and upon becoming aware that any such report or
information was at the time provided false or misleading in any material
respect, it promptly provides ICE Clear Credit a correcting amendment of
or supplement to such report or information; and
(xii)
It is (and, if its Parent provides a guarantee pursuant to Rule 205, its
Parent is) organized in a jurisdiction whose insolvency laws are
acceptable to ICE Clear Credit.
(xiii)
It is not subject to statutory disqualification under Section 8a(2) of the
CEA or Section 3(a)(39) of the Securities Exchange Act, or otherwise
applicable CFTC or SEC regulations.
For the avoidance of doubt, and without limiting Section 201(b), the
following categories of persons may be approved by ICE Clear Credit as
Participants; provided that such applicant meets and maintains the ICE
Clear Credit participation standards set forth in Rule 201(b) above:
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202.
(i)
registered broker-dealer;
(ii)
registered investment company;
(iii)
bank;
(iv)
insurance company;
(v)
registered futures commission merchant; or
(vi)
such other person or class of persons that the SEC may designate as
appropriate.
Application for Participant Status.
(a)
Persons desiring to clear Trades through ICE Clear Credit shall make
application in such form as shall be prescribed by ICE Clear Credit. Each
applicant must execute the Participant Agreement and agree to abide by the
Rules and related interpretations and the ICE Clear Credit Procedures as in
effect from time to time. Decisions with respect to an application to be a
Participant shall be made by the Board on the advice of ICE Clear Credit
management and the Risk Management Subcommittee. An applicant for
Participant status shall be conclusively deemed to have agreed to have no
recourse against ICE Clear Credit, the Board or any member of the Risk
Management Subcommittee in the event that its application to become a
Participant is rejected. In the event that an applicant for Participant status is
denied participation in or is granted limited access to ICE Clear Credit, ICE
Clear Credit shall provide to such applicant and to the CFTC and SEC a
statement setting forth the specific grounds on which the applicant was denied
or the Participant’s access was limited.
(b)
Notwithstanding the termination of Participant status, a Person admitted as a
Participant agrees to be responsible for any Violation (as defined in Rule 701)
committed by such Person while a Participant and agrees to have any disputes
that arise while a Participant and that relate to or arise out of any transaction
with ICE Clear Credit or status of a Participant in ICE Clear Credit resolved in
accordance with the Rules.
203.
Restriction on Activity.
(a)
In the event a Participant fails to comply with these Rules or the ICE Clear Credit
Procedures, ICE Clear Credit may, subject to the requirements of Rule 615(b),
suspend or revoke such Participant’s clearing privileges. In such case, ICE Clear
Credit shall provide to the Participant and to the CFTC and SEC a statement
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setting forth specific grounds on which the Participant’s clearing privileges were
suspended or revoked.
(b)
In addition to any other rights granted to ICE Clear Credit under these Rules, for
the protection of ICE Clear Credit and the Participants, ICE Clear Credit shall be
authorized: (i) to impose such additional capital, Margin or other requirements on
a Participant; (ii) to allow such Participant to submit Trades for liquidation only;
(iii) to limit or restrict the type of Contracts that may be cleared by such
Participant in any of its accounts with ICE Clear Credit; or (iv) to limit or restrict
the aggregate notional or other reference amount of positions in Contracts that
are permitted to be maintained by such Participant in any of its accounts with ICE
Clear Credit (any limitation imposed under clauses (ii) through (iv), a “Trading
Activity Limitation”).
204.
Financial Statements of Participants.
Each Participant (and, if a Parent has provided a guarantee of its obligations pursuant
to Rule 205, its Parent) shall submit statements of its financial condition at such times
and in such manner as shall be prescribed by ICE Clear Credit from time to time.
Without limiting the foregoing, each Participant that is an FCM shall provide to ICE
Clear Credit a copy of its Forms 1-FR-FCM or FOCUS Reports, as applicable, as and
when filed with the National Futures Association or Financial Institution Regulatory
Authority, as applicable (and any Participant that is not an FCM or a Broker-Dealer shall
provide to ICE Clear Credit a copy of such forms as ICE Clear Credit may determine to
be necessary on a comparable schedule to that which an FCM would be required to
follow in filing such forms with the National Futures Association).
205.
Parent Guarantee.
A Participant shall be approved for the clearing of Contracts only if it meets the capital,
regulatory and other requirements as specified by ICE Clear Credit from time to time, or,
if it fails to meet such requirements itself, it has a direct or indirect parent that is
acceptable to ICE Clear Credit (a “Parent”) that meets such requirements (including
without limitation under Rules 201(b)(ii)-(iv) and (xi)) as determined by ICE Clear Credit
and that unconditionally guarantees the Participant’s obligations relating to Contracts.
The form, substance and amount of any such guarantee must be acceptable to ICE
Clear Credit and ICE Clear Credit must be satisfied that the guarantee is enforceable
against the Parent under applicable law (including relevant insolvency law), and in
connection therewith ICE Clear Credit may require Participant or Parent to procure an
opinion of counsel in form and substance acceptable to ICE Clear Credit to such effect.
ICE Clear Credit will not accept a Parent guarantee pursuant to this Rule 205 unless
ICE Clear Credit is satisfied that the Parent will be able to meet its financial obligations
under the guarantee, based upon such financial or other information as is reasonably
requested by ICE Clear Credit.
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206.
(a)
Notices Required of Participants.
Each Participant shall immediately notify ICE Clear Credit, orally and in writing,
of:
(i)
Any material adverse change in the Participant’s financial condition
including, but not limited to, a decline in Adjusted Net Capital (as
defined in Rule 201(b)(ii)) equal to 20% or more from such amount
determined as of the end of the previous calendar month, or if such
Participant knows or has reason to believe that its Adjusted Net Capital
has fallen below ICE Clear Credit’s capital requirement in Rule
201(b)(ii);
(ii)
Any proposed material reduction (and, in all cases, if the reduction is
30% or more from such amount determined as of the end of the
previous calendar month) in the Participant’s operating capital or
Adjusted Net Capital, including the incurrence of a contingent liability
that would materially affect the Participant’s capital or other
representations contained in the latest financial statement submitted to
ICE Clear Credit should such liability become fixed;
(iii)
With respect to the Participant, any refusal of admission to, withdrawal
of any application for membership in, any suspension, expulsion, bar,
fine, censure, denial of membership, registration or license, withdrawal
of any application for registration, cease and desist order, temporary or
permanent injunction, denial of trading privileges, or, to the extent
detrimental to the ability of the Participant (or of any Parent that has
provided a guarantee for such Participant pursuant to Rule 205) to fulfill
its duties and obligations hereunder, any other sanction or discipline
through an adverse determination, voluntary settlement or otherwise,
by the U.S. Commodity Futures Trading Commission, the U.S.
Securities and Exchange Commission, the European Securities and
Markets Authority, the U.K. Prudential Regulatory Authority, any
commodity, securities or swap exchange or trading facility, clearing
organization, the National Futures Association, the Financial Industry
Regulatory Authority, any other regulatory, self-regulatory or other
entity or organization with regulatory authority, whether U.S. or nonU.S. and governmental or otherwise, having jurisdiction over the
Participant, or other business or professional association;
(iv)
The imposition of any restriction or limitation on the business
conducted by the Participant on or with any securities, futures or swap
clearing organization or exchange (including, without limitation, any
contract market, securities exchange, swap execution facility, security-
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based swap execution facility or other trading facility), other than
restrictions or limitations imposed generally on all Participants of or
participants in such clearing organization or exchange;
(b)
(v)
Any failure by the Participant to perform any of its material contracts,
obligations or agreements, unless such failure is the result of a good
faith dispute by such Participant;
(vi)
Any determination that the Participant will be unable to perform any of
its material contracts, obligations or agreements;
(vii)
The Participant becomes insolvent or is unable to pay its debts or fails
or admits in writing its inability generally to pay its debts as they
become due;
(viii)
The institution of any proceeding by or against the Participant or any
Affiliate of the Participant, under any provision of the bankruptcy laws
of the United States, Title II of the Dodd-Frank Wall Street Reform and
Consumer Protection Act, the Securities Investor Protection Act of
1970, the Federal Deposit Insurance Corporation Improvement Act of
1991, the Federal Deposit Insurance Act or any other statute or
equitable power of a court of like nature or purpose, whether domestic
or foreign, in which such Participant or Person is designated as the
bankrupt, debtor or equivalent, or a receiver, conservator, trustee or
similar official is appointed for the Participant, such Affiliate, or its or
their property;
(ix)
The receipt by the Participant, or the filing by the Participant with a selfregulatory organization, of a notice of material inadequacy; and
(x)
The receipt by the Participant from its independent auditors of an audit
opinion that is not unqualified.
Each Participant shall provide prior written notice to ICE Clear Credit of:
(i)
Any changes in the Participant’s name, business address, its telephone
or facsimile number, electronic mail address, or any number or access
code for any electronic communication device used by it to
communicate with ICE Clear Credit; and
(ii)
Any proposed material change in the organizational or ownership
structure or senior management of the Participant (and the Participant
shall promptly furnish to ICE Clear Credit such documents related to
such events as ICE Clear Credit may from time to time request),
including:
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(A)
the merger, combination or
Participant and another Person;
consolidation
between
the
(B)
the assumption or guarantee by the Participant of all or
substantially all of the liabilities of another Person in connection
with the direct or indirect acquisition of all or substantially all of
the assets of such Person;
(C)
the sale of a significant part of the Participant’s business or
assets to another Person; and
(D)
a change in the direct or indirect beneficial ownership of 10% or
more of the equity of the Participant.
(c)
Each Participant that is an FCM shall notify ICE Clear Credit of any
matter required to be notified to the CFTC under CFTC Rule 1.12,
within the time and in the manner specified in that rule. Each
Participant that is a Broker-Dealer shall notify ICE Clear Credit of any
matter required to be notified to the SEC under Rule 17a-11 or to
FINRA under FINRA Rule 3070, within the time and in the manner
specified in those rules. (Any Participant that is not an FCM or a
Broker-Dealer shall provide notices to ICE Clear Credit pursuant to the
second preceding sentence as though it were an FCM.)
(d)
Each Participant shall promptly notify ICE Clear Credit in writing if it
becomes subject to statutory disqualification under Section 8a(2) of the
CEA or Section 3(a)(39) of the Securities Exchange Act, or otherwise
applicable CFTC or SEC regulations.
...
Interpretations and Policies:
.01
As used in this Rule, the term “Participant” shall be deemed to
include any Parent of the Participant providing a guarantee pursuant
to Rule 205 and the Participant and such Parent shall be jointly
obligated to deliver all notices required by this Rule relating to events
occurring with respect to the Participant or such Parent.
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207.
Termination of Participant Status.
(a)
Upon the occurrence of a Termination Event (as defined herein), ICE Clear
Credit may, in its sole discretion, impose limitations, conditions and restrictions
upon a Participant or, subject to the requirements of Rule 615(b), terminate the
status of the Participant. In such circumstances, ICE Clear Credit may, in its
sole discretion, (i) decline to accept new Trades in the case of Termination
Events described in subparagraphs (b)(i), (b)(ii) (provided such Retiring
Participant has no remaining Open Positions) or (b)(v) of this Rule, (ii) cause
Open Positions to be transferred to another clearing organization designated
by the Market, if applicable, or that provides clearing services for agreements
equivalent to Contracts, with such security against claims and liabilities as ICE
Clear Credit shall deem necessary for its protection, (iii) impose a Trading
Activity Limitation (as defined in Rule 203), (iv) prior to the occurrence of a
Default, require the Participant to cause all Open Positions to be closed out (or,
in the case of Client-Related Positions, transferred to another Participant in
accordance with Chapter 20A-01 of these Rules by a date specified by ICE
Clear Credit (which, in the case of a Retiring Participant, shall be no later than
such Retiring Participant’s Scheduled Return Date (as defined in Rule 803)),
with the failure of the Participant to do so constituting a default under the
Participant’s Contracts with ICE Clear Credit, and (v) otherwise take or omit to
take such actions, or any combination thereof, as it deems necessary or
appropriate in the circumstances; provided that nothing in this paragraph (a)
shall limit the rights granted to ICE Clear Credit upon the Default of a
Participant.
(b)
As used herein, “Termination Event” shall mean the occurrence of any of the
following:
(i)
The expiration or termination of the agreement for clearing services
between ICE Clear Credit and the relevant Market;
(ii)
The Participant becomes a Retiring Participant;
(iii)
(A)
A representation or warranty made by the Participant (or any
Parent of Participant providing a guarantee pursuant to Rule 205)
to ICE Clear Credit under or in connection with any agreement
between ICE Clear Credit and the Participant (or such Parent)
shall be false or misleading in any material respect as of the date
on which made;
(B)
an Eligible Officer determines that the Participant (or, if
applicable, such Parent) has failed to satisfy the ongoing
requirements to retain its status as a Participant under Rule
201(b)(i), (ii), (iv), (v), (viii), (ix), (x) or (xi); or
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(C)
the Board determines, by a two-thirds majority of those voting, in
a vote excluding members of the Board who are employees of such
Participant or any Affiliate and with a quorum of at least fifty percent of
the remaining members of the Board, that (1) the Participant (or, if
applicable, such Parent) has failed to satisfy any other ongoing
requirements to retain its status as a Participant, including under Rule
201(b)(vi) or (vii), or (2) it appears, in the Board’s judgment, that the
Participant (or, if applicable, such Parent) is likely to fail to satisfy any
ongoing requirements to retain its status as a Participant if any
proposed material change in the organizational or ownership structure
or senior management of the Participant (or, if applicable, such Parent)
referred to in Rule 206(b)(ii) were effected;
(c)
(iv)
The material breach by the Participant of the Rules or any of the terms
or provisions of any agreement between ICE Clear Credit and the
Participant which is not remedied promptly after notice from ICE Clear
Credit; or
(v)
The Participant is in Default.
(vi)
The Participant becomes subject to statutory disqualification under
Section 8a(2) of the CEA or Section 3(a)(39) of the Securities
Exchange Act, or otherwise applicable CFTC or SEC regulations.
A Retiring Participant’s status as a Participant hereunder shall be terminated
no later than the Retiring Participant’s Retirement Date determined pursuant to
Rule 803.
208.
AML Compliance.
(a)
Anti-Money Laundering and Customer Identification Program. As of each
ICE Business Day, regardless of whether Participant submits Contracts to be
cleared by ICE Clear Credit, each Participant that is subject to the Bank Secrecy
Act (31 U.S.C. 5311, et seq.), the USA PATRIOT Act, and the regulations
promulgated thereunder hereby represents and warrants that it has developed
and implemented a written anti-money laundering program, which has been
approved in writing by senior management of Participant, and is reasonably
designed to promote and monitor Participant's compliance with the applicable
requirements of the Bank Secrecy Act (31 U.S.C. 5311, et seq.), the USA
PATRIOT Act, and the regulations promulgated thereunder. Such anti-money
laundering program shall, at a minimum:
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(i)
establish and implement policies, procedures and internal controls
reasonably designed to promote compliance with the applicable provisions
of the Bank Secrecy Act and the implementing regulations thereunder;
(ii)
establish policies, procedures and internal controls reasonably designed
to detect and report circumstances where Participant may be used as a
vehicle for money laundering, including the monitoring of Participant’s
customers for suspicious activity;
(iii)
require Participant to take appropriate action once suspicious activity is
detected and make reports to government authorities in accordance with
applicable laws;
(iv)
require the performance of due diligence on Participant’s customers and,
where appropriate, performance of enhanced due diligence on customers
using a risk-based approach;
(v)
require screening of customers for compliance with U.S. sanctions
administered by the U.S. Treasury’s Office of Foreign Assets Control
(“OFAC”), including screening customer names against OFAC’s List of
Specially Designated Nationals and Blocked Persons (“SDN List”);
(vi)
designate an anti-money-laundering compliance officer;
(vii)
provide for independent testing for compliance to be conducted by the
Participant’s personnel or by a qualified outside party; and
(viii)
provide periodic training for appropriate personnel.
(b)
If Participant becomes aware that Participant’s customer and/or the beneficial
owner of a Trade, is prohibited pursuant to an economic or trade sanctions
program administered and enforced by the Office of Foreign Assets Control of
the U.S. Department of the Treasury or listing on the SDN List, Participant will
notify the ICE Clear Credit Legal and/or Compliance Department as soon as is
reasonably practicable or as may otherwise be required by law.
209.
Risk-Based Capital Requirement.
If at any time and for so long as a Participant has a Required Contribution to the
General Guaranty Fund that exceeds 25% of its Excess Net Capital, ICE Clear Credit
may (in addition to imposing the Trading Activity Limitations provided for in Rule 203(b))
require such Participant to prepay and maintain with ICE Clear Credit an additional
contribution (the “Prepaid Contribution”) to the General Guaranty Fund equal to the
amount of the Additional Assessment Limit that would be applicable to it at such time if
it were a Retiring Participant. Payment of the Prepaid Contribution shall not limit such
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Participant’s obligations to make additional contributions to the General Guaranty Fund
as otherwise required by the Rules, provided that if such a Participant becomes a
Retiring Participant it may apply the Prepaid Contribution to its obligation to make
additional contributions to the General Guaranty Fund up to its Additional Assessment
Limit. Notwithstanding anything to the contrary herein, except in the case of a Default
with respect to such Participant, the Prepaid Contribution will not be deemed to be part
of the General Guaranty Fund for purposes of Rule 802(b) until such time as it is
applied to the Participant’s obligations to make additional contributions to the General
Guaranty Fund as provided in the preceding sentence.
210.
[Intentionally Omitted]
211.
Regulatory Reporting of Swap Data.
For all swaps cleared by ICE Clear Credit, and resulting positions, ICE Clear Credit
shall report creation and continuation data to Intercontinental Exchange, Inc.’s swap
data repository for purposes of complying with applicable CFTC rules governing the
regulatory reporting of swaps. Upon the request of a Participant that is a counterparty to
a swap cleared at ICE Clear Credit, ICE Clear Credit shall provide the same creation
and continuation data to a swap data repository selected by the counterparty as ICE
Clear Credit provided to Intercontinental Exchange, Inc.’s swap data repository under
the preceding sentence.
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3.
CLEARING OF CONTRACTS
301.
Effect of Clearance.
(a)
Trades submitted for clearance by or for the account of a Participant shall be
submitted to ICE Clear Credit as required by these Rules and the ICE Clear
Credit Procedures and the rules of any applicable Market.
(b)
Client-Related and House Positions. If (i) an Authorized Trade
Execution/Processing Platform submits the relevant terms of an agreement
(other than a Backloaded Trade) equivalent to a Contract on behalf of two
Participants (Participant X and Participant Y), (ii) such Participants (and, if
applicable, any Non-Participant Party for whom Participant X or Participant Y is
acting) have affirmed or are otherwise bound by such terms through such
Authorized Trade Execution/Processing Platform, (iii) by its terms such Contract
is to become effective or novated upon its submission and acceptance for
clearing under the Rules, and (iv) ICE Clear Credit accepts the Contract in
accordance with the requirements of Rule 309, then the existing trade, if any,
between Participant X and Participant Y in respect thereof will be extinguished
and Participant X will be deemed to have entered into a Trade on the terms of
such Contract with ICE Clear Credit and Participant Y will be deemed to have
entered into an exactly offsetting Trade with ICE Clear Credit, and with respect to
each such Participant, its position in such Trade shall become an Open Position.
Upon the establishment thereof, such positions will have the terms of the
equivalent Contract. If Participant X and/or Participant Y is acting for a NonParticipant Party, such position of such Participant shall constitute a ClientRelated Position. Notwithstanding anything to the contrary herein (including
Section 303), any obligation or right of Participant X or Participant Y to make or
receive an up-front payment (an “Initial Payment”) with respect to positions
established pursuant to this subsection (b) shall be in favor of or due from ICE
Clear Credit, as the case may be. The provisions of this Rule 301(b) may also
apply where Participant X and Participant Y are the same entity, in which case
such entity will be deemed to have entered into two separate and distinct Trades
with ICE Clear Credit. For the avoidance of doubt, this subsection (b) shall apply
where either or both of the resulting Trades will be Client-Related Positions or
House Positions.
(c)
Backloaded Trades. If (i) an Authorized Trade Execution/Processing Platform
submits the relevant terms of a Backloaded Trade between two Participants or a
Backloaded Client Trade on behalf of either one Participant or two Participants
(Participant X and Participant Y), as applicable, (ii) such Participant or
Participants, as applicable (and any Non-Participant Party for whom Participant X
or Participant Y is acting) have affirmed or are otherwise bound by such terms
through such Authorized Trade Execution/Processing Platform, (iii) by its terms
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such Contract is to become effective upon its submission and acceptance for
clearing under the Rules, and (iv) ICE Clear Credit accepts the Contract in
accordance with the requirements of Rule 309, then the existing Trade, if any,
between Participant X and Participant Y and in the case of a Backloaded Client
Trade, the trade of the relevant Non-Participant Party shall be extinguished and
(A) if such Trade was submitted on behalf of two Participants, Participant X will
be deemed to have entered into a Trade on the terms of such Trade with ICE
Clear Credit and Participant Y will be deemed to have entered into an exactly
offsetting Trade with ICE Clear Credit, or (B) if such Trade is a Backloaded Client
Trade and was submitted on behalf of a single Participant, such Participant will
be deemed to have entered into two separate and distinct Trades, one Trade
(“Trade A”) on the terms of such Backloaded Client Trade and a second trade
(“Trade B”) whose terms shall exactly offset the terms of Trade A. Upon the
establishment thereof, such positions shall become Open Positions and will have
the terms of the equivalent Contract and the terms provided in Rule 303. If a
Participant is acting for a Non-Participant Party, upon the establishment of such a
position with ICE Clear Credit, such position of such Participant shall constitute a
Client-Related Position.
(d)
Each Participant acknowledges and agrees that ICE Clear Credit may rely,
without additional investigation, on the terms of trades submitted by an
Authorized Trade Execution/Processing Platform that have been designated by
such platform as having been affirmed or confirmed by the relevant parties
thereto (including as to the identity of the Participants to be party thereto), and
that each Participant shall be obligated under any Open Position established
pursuant to subsection (b) or (c) as a result of such submission. A Participant
may notify ICE Clear Credit, in a manner to be specified in the ICE Clear Credit
Procedures, that it will not accept trades submitted by an Authorized Trading
Processing Platform on its behalf, and following receipt by ICE Clear Credit of
such notice, ICE Clear Credit will not accept for clearing pursuant to subsection
(b) or (c) trades submitted by such Authorized Trade Execution/Processing
Platform that identify such Participant (but without limiting the provisions of this
paragraph with respect to any trades submitted before ICE Clear Credit’s receipt
of such notice).
302.
Tender of Trades; Client-Related Positions.
(a)
The submission of a Trade confirmation, in the manner designated by ICE Clear
Credit or its agents, by or on behalf of a Participant, as hereinafter provided, shall
be deemed a tender to ICE Clear Credit for clearance of the Trade listed on such
confirmation. These Rules shall constitute part of the terms of each Contract
tendered to ICE Clear Credit.
(b)
Each Trade confirmation submitted to ICE Clear Credit by or on behalf of a
Participant pursuant to Rule 301(b) or (c) will identify, in the manner specified by
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ICE Clear Credit, whether such Trade, when cleared, is to be a Client-Related
Position or a House Position of the relevant Participant (including, if applicable,
for purposes of Rule 304(c)), and failing such designation, such Trade will be
presumed to be a House Position of that Participant.
303.
Adjustments.
Upon the clearance of a Trade pursuant to Rule 301(c), regardless of the terms of the
bilateral agreement between the submitting Participants the Trade between ICE Clear
Credit and each such Participant shall have an Initial Payment of zero.
304.
Offsets.
(a)
Subject to subsection (b) below, where, pursuant to Rule 301, or as otherwise
provided in these Rules, a Participant has entered into Trades that are House
Positions or Client-Related Positions with ICE Clear Credit that constitute
opposite positions which are identical in all material respects (other than notional
or other reference amount and the application of Rule 613) in a single Contract,
then at the applicable time and in the manner to be specified in the ICE Clear
Credit Procedures, the second such Trade shall be deemed pro tanto a
settlement or adjustment of the prior transaction and, therefore, a reduction in the
relevant Open Position. Thereupon, such Participant shall possess no further
rights and be under no further liability with respect thereto only to the extent of
such settlement or adjustment.
(b)
In no event shall any Client-Related Position be offset against any House
Position or any House Position be offset against any Client-Related Position, in
either case pursuant to subsection (a) above, except as provided in subsection
(c) below. Client-Related Positions that are part of the same Non-Participant
Party Portfolio may be offset against each other pursuant to subsection (a)
hereof. Client-Related Positions that are part of different Non-Participant Party
Portfolios may not be offset against each other pursuant to subsection (a) hereof;
provided that such Client-Related Positions shall be deemed to be offset against
each other for purposes of determining the Participant’s Net Client-Related Markto-Market Margin Requirement and any net payment or settlement amount owed
by either ICE Clear Credit to the Participant or the Participant to ICE Clear Credit
with respect to such Client-Related Positions under the Rules, and in addition
such positions may be offset against each other by ICE Clear Credit following a
Default as set forth in these Rules.
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(c)
Where a Participant wishes to terminate a Client-Related Position because of a
default or termination event with respect to the Non-Participant Party thereunder
and the relevant Participant has so notified ICE Clear Credit in writing, the
Participant may elect, in a manner to be specified by ICE Clear Credit, (i) to
offset such Client-Related Position against a House Position entered into by such
Participant for the specific purpose of liquidating such Client-Related Position or
(ii) to convert such Client-Related Position into a House Position, whereupon it
shall be treated as such for all purposes under these Rules (including subsection
(a) above). For the avoidance of doubt, upon the offset of such Client-Related
Position or its conversion into a House Position, ICE Clear Credit shall
recalculate the applicable Margin Requirements and, if applicable, make margin
in respect of the Client-Related Position available for withdrawal in accordance
with Rule 401.
305.
Trade Confirmations.
Each ICE Business Day, the exact hours of which shall, from time to time, be fixed by
ICE Clear Credit, Participants shall file with ICE Clear Credit or its agent confirmations,
in the manner prescribed by ICE Clear Credit (which, in the case of Authorized Trade
Execution/Processing Platforms or other electronic systems that submit matched
Trades to ICE Clear Credit, shall be satisfied by confirming reports automatically
generated by such system that contain the information set forth herein), covering
Trades made during the day showing for each Trade (a) the identity of both Participants
(or the relevant Participant, if a single Participant), (b) which side of the Trade each
Participant has taken, if applicable, (c) the relevant Contract involved, (d) the quantity or
notional and other economic terms involved, (d) whether such Trades are House or
Client-Related Positions for the relevant Participant and (e) such other information as
may be required by ICE Clear Credit to effect the matching of Trades between the
parties.
306.
Disagreement in Trade Confirmations.
In the case of a Trade between two Participants submitted for clearing, if a Trade
confirmation of either Participant shall not correspond in all material respects with the
confirmation of the other party to such Trade, ICE Clear Credit may reject such Trade
and notify both Participants, setting forth the basis of such objection.
307.
Statement of Open Positions.
ICE Clear Credit shall make available to each Participant a statement of Open Positions
(separately for House Positions and Client-Related Positions) for each ICE Business
Day on which such Participant has Open Positions. Such statement shall show the
following with respect to each Mark-to-Market Margin Category, as described in the
Chapter 4 Rules (or any corresponding Rules in any product-specific Chapter):
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(a)
The Mark-to-Market Price of each Open Position,
(b)
The Margin Requirement,
(c)
The Margin then on deposit with respect to such Margin Category,
(d)
The Net House Margin Requirement, and
(e)
The Net Client-Related Mark-to-Market Margin Requirement.
...
Interpretations and Policies:
.01
308.
Intentionally Omitted.
Statement of Initial Margin.
At or around the time a Statement of Open Positions is made available pursuant to Rule
307, ICE Clear Credit shall also make available to each Participant a statement
(separately for Client-Related Positions and House Positions) showing the following with
respect to each Initial Margin Category, as described in the Chapter 4 Rules (or any
corresponding Rules in any product-specific Chapter):
(a)
The Margin Requirement,
(b)
The Margin then on deposit with respect to such Margin Category,
(c)
The Net House Margin Requirement, and
(d)
The Non-Participant Party Portfolio Margin Requirement for each NonParticipant Party Portfolio.
309.
Acceptance of Trades by ICE Clear Credit.
(a)
ICE Clear Credit shall accept the submission of Trades for clearance hereunder
only from or on behalf of Participants (who may be acting for themselves or a
Non-Participant Party). A Trade is accepted upon ICE Clear Credit’s notice, in
accordance with the ICE Clear Credit Procedures, to the relevant Participant(s)
that ICE Clear Credit has accepted a Trade submitted for clearance. References
herein to the “Novation Time” shall be to such time of acceptance.
(b)
Client-Related and House Trades. The acceptance of a Trade that is submitted
for clearance pursuant to Rule 301(b) shall result in the establishment of
positions pursuant to such subsection as of the time of such acceptance and
such acceptance may not be revoked.
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(c)
Backloaded Trades. A Backloaded Trade to be submitted for clearance
pursuant to Rule 301(c) will be subject to such pre-submission review and
processing as ICE Clear Credit shall designate, and shall not be deemed to be
formally submitted until such time as is designated for the completion of such
pre-submission review and processing. Acceptance of a Backloaded Trade shall,
in addition to the other criteria set forth herein, be subject to receipt by ICE Clear
Credit of any advance funding of Initial Margin as may be required by ICE Clear
Credit in connection with the Backloaded Trades. The acceptance of a
Backloaded Trade submitted for clearance pursuant to Rule 301(c) shall result in
the establishment of positions pursuant to such subsection as of the time of such
acceptance and such acceptance may not be revoked.
(d)
ICE Clear Credit will accept or reject Trades submitted for clearance that are
executed competitively on or subject to the rules of a designated contract market
or swap execution facility as quickly after execution as would be technologically
practicable if fully automated systems were used, as provided under CFTC Rule
39.12(b)(7)(ii). ICE Clear Credit will accept all such Trades (i) for which the
executing parties have clearing arrangements in place with Participants, (ii) for
which the executing parties identify ICE Clear Credit as the intended
clearinghouse and (iii) that satisfy the criteria of ICE Clear Credit as set out
herein and in the ICE Clear Credit Procedures, including those described in
subsections (g) and (h) below (which criteria shall be non-discriminatory across
trading venues and shall be applied as quickly as would be technologically
practicable if fully automated systems were used).
(e)
ICE Clear Credit will accept or reject Trades submitted for clearance that are not
executed on or subject to the rules of a designated contract market or swap
execution facility or that are executed non-competitively on or subject to the rules
of a designated contract market or swap execution facility as quickly after
submission to ICE Clear Credit as would be technologically practicable if fully
automated systems were used, as provided under CFTC Rule 39.12(b)(7)(iii).
ICE Clear Credit will accept all such Trades (i) that are submitted to ICE Clear
Credit by the parties in accordance with CFTC Rule 23.506, (ii) for which the
executing parties have clearing arrangements in place with Participants, (iii) for
which the executing parties identify ICE Clear Credit as the intended
clearinghouse, and (iv) that satisfy the criteria of ICE Clear Credit as set out
herein and in the ICE Clear Credit Procedures, including those described in
subsection (d) above and subsections (g) and (h) below (which criteria shall be
non-discriminatory across trading venues and shall be applied as quickly as
would be technologically practicable if fully automated systems were used).
(f)
Following the novation or establishment of positions as described in clauses (b)
or (c), as applicable, above, such positions shall be binding as between ICE
Clear Credit and the relevant Participants. Following acceptance of a Trade for
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clearing by ICE Clear Credit, each Participant that is a party to such Trade (or
ICE Clear Credit on its behalf) must resubmit or submit, as the case may be, in
accordance with the ICE Clear Credit Procedures, the terms of such Trade to
Deriv/SERV or another service specified by ICE Clear Credit with identical terms
as the original submission for clearance, adjusted to take into account any offsets
under Rule 304 and the substitution of ICE Clear Credit, if applicable, for the
other party to such Trade. Failure of a Participant to so resubmit (or submit) any
Trade to Deriv/SERV or another service specified by ICE Clear Credit (except
where ICE Clear Credit submits on its behalf) will be a violation of these Rules
and may subject the Participant to disciplinary action, but shall not affect the
validity or binding effect of the cleared Trade as between the relevant
Participant(s) and ICE Clear Credit. Prior to such resubmission or submission
and (if applicable) confirmation thereof, the cleared Trade shall be governed by
the terms of the original submission for clearance, as so adjusted and subject to
these Rules.
(g)
ICE Clear Credit shall accept for clearance all Trades that are submitted in
accordance with, and meet the requirements established by, these Rules and the
ICE Clear Credit Procedures (including implementation of and compliance with
applicable risk filters required by ICE Clear Credit) (each, a “Conforming
Trade”) in the timeframes specified above; provided that ICE Clear Credit may
decline to accept a submitted Conforming Trade if an Eligible Officer determines
in good faith that, based on the exercise of prudent risk management standards,
ICE Clear Credit should not accept the Conforming Trade.
(h)
ICE Clear Credit may establish, separately with respect to each Participant in
accordance with the ICE Clear Credit Procedures based on risk management
considerations, a specified notional or other relevant amount of Conforming
Trades of a particular type that ICE will agree to accept on any ICE Business Day
and which ICE Clear Credit may not decline pursuant to the preceding
subsection, subject to the Participant not being in Default and otherwise being in
good standing under the Rules and compliance by the Participant with any
conditions imposed by ICE Clear Credit (including, if applicable, advance funding
of applicable margin).
(i)
Where a Participant clears a Trade for a Non-Participant Party, such Participant
becomes liable to ICE Clear Credit and ICE Clear Credit liable to such Participant
on such Trade as if the Trade were for the proprietary account of the Participant,
subject in all cases to the provisions of these Rules applicable to Client-Related
Positions.
...
Interpretations and Policies:
.01
Intentionally omitted.
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.02
310.
ICE Clear Credit may accept the submission of Trades for clearance
for the account of a Participant from an Affiliate of such Participant;
provided that such Affiliate has been previously designated for this
purpose by such Participant in writing to ICE Clear Credit. Such
submission by an Affiliate shall be deemed a submission by the
relevant Participant for the purposes of these Rules. For the
avoidance of doubt, ICE Clear Credit and such Affiliate shall have no
rights, obligations or liability with respect to each other pursuant to
such submission or the related novation, irrespective of the
relationship between such Participant and its Affiliate.
Records.
Participants shall keep permanent records showing, with respect to each Trade, the
names of both Participants (if applicable) and any related Non-Participant Party, as the
case may be, the Contract, quantity or notional, other economic terms and such other
information as may be required by law, regulation, or by ICE Clear Credit. Such
permanent records shall be retained for at least five years, either in original form or in
such other form as ICE Clear Credit may from time to time authorize, and shall be
deemed the joint property of ICE Clear Credit and the Participant keeping such records.
ICE Clear Credit shall be entitled to inspect on the Participant’s site during normal
business hours or take temporary possession of such records at any time, in each case
with reasonable advance notice.
311.
Reporting.
Participants shall make reports of their positions at the time and in the manner
prescribed by ICE Clear Credit. In all instances, such Participant reports shall specify
which positions are Client-Related Positions and which positions are House Positions.
In identifying any Client-Related Positions, Participants shall also specify such
information as to the Non-Participant Parties as ICE Clear Credit may direct. Without
limiting the foregoing, Participants shall identify to ICE Clear Credit those Client-Related
Positions carried for the same Non-Participant Party and those Client-Related Positions
that are Non-Transfer Positions (as defined in Chapter 20A of these Rules). ICE Clear
Credit may require Participants to make reports only to the extent such reports have a
reasonable nexus to the operations and regulatory requirements of ICE Clear Credit.
312.
Limitation of Liability.
(a)
ICE Clear Credit shall have no liability for any obligations of or to any Person who
is not a Participant. ICE Clear Credit makes no representation about the
adequacy of the General Guaranty Fund, and the Margin and other amounts
provided under these Rules, to cover a Default by any Participant, and ICE Clear
Credit is not acting as an adviser or fiduciary with respect to the decision whether
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to enter any particular Trade or to clear Trades in accordance with these Rules.
ICE Clear Credit shall not be responsible for any of the actions or inactions of
any of its agents, any Participant, a Market, an Authorized Trade
Execution/Processing Platform or any other Person, including, without limitation,
the failure of a Participant to perform any of its direct obligations to another
Participant, the cessation, suspension or other change in the activities of any of
ICE Clear Credit’s agents, any Authorized Trade Execution/Processing Platform
or any Market, or the failure of linkages or communications between ICE Clear
Credit and any other party. Absent bad faith or willful misconduct, or a violation of
federal securities laws for which there is a private right of action, ICE Clear Credit
shall not be liable to any Participant or other Person for any determination ICE
Clear Credit is required or authorized to make under these Rules, or any exercise
by ICE Clear Credit of its discretion under these Rules or decision not to exercise
any such discretion, including, without limitation, determining Margin
requirements, determining the Value of deposited Margin, determining the Markto-Market Price of any Contract, and any actions or inactions relating to an
emergency or force majeure, the decision that a Participant is in Default or the
Closing-out Process. Without limiting the foregoing, ICE Clear Credit shall have
no liability or obligation to any Non-Participant Party in respect of a ClientRelated Position or otherwise (without prejudice to ICE Clear Credit’s obligation
under these Rules to return collateral and distributions thereon to a Participant in
accordance with these Rules).
(b)
In no event shall the amount of ICE Clear Credit’s liability arising out of or
relating to payment or delivery obligations with respect to Contracts or
these Rules (whether direct or indirect, in contract, tort or otherwise)
exceed the sum of (A) the amount then on deposit in the General Guaranty
Fund (including any additional General Guaranty Fund deposits actually
collected from Participants (subject to applicable Additional Assessment
Limits, as defined in Rule 802(d)), the ICE Clear Credit Priority Contribution
and the ICE Clear Credit Pro Rata Contribution (subject to the ICE Clear
Credit Default Maximum as defined in Rule 802(b)(v))), (B) any unpaid ICE
Clear Credit Priority Contribution or ICE Clear Credit Pro Rata Contribution
(subject to the ICE Clear Credit Default Maximum) that is past due, and (C)
any amounts actually collected by ICE Clear Credit (reduced by all costs
and expenses of collection) from a Participant or its guarantor in respect of
Obligations, as described in Rule 802(a) or Rule 802(c), or from other
Participants or their guarantors in respect of Wound-up Contracts, as
described in Rule 804; provided that amounts received or collected as
Margin in respect of Client-Related Positions may only be applied as set
forth in these Rules. In no event shall the amount of ICE Clear Credit’s
liability to a Participant not arising out of or relating to payment or delivery
obligations with respect to Contracts or these Rules (whether direct or
indirect, in contract, tort or otherwise) exceed the aggregate amount paid
to ICE Clear Credit by such Participant for the Services (as defined in the
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relevant Participant Agreement) within the twelve-month period preceding
any claim therefor.
313.
Non-Acceptance of Trades.
In case of the non-acceptance of the Trades of any Participant, ICE Clear Credit shall
incur no obligations with respect to the Trades that are not accepted. It shall be the sole
responsibility of the Participants who are parties to any such Trades to take such steps
as the Participants may deem necessary or proper for such Participants’ own protection.
314.
Open Access for Execution Venues and Trade Processing Platforms.
ICE Clear Credit shall ensure that, consistent with the requirements of CEA Section
2(h)(1)(B) and Securities Exchange Act Section 3C(a)(2), there shall be open access to
the clearing system operated by ICE Clear Credit pursuant to these Rules for all
execution venues (including, without limitation, designated contract markets, national
securities exchanges, swap execution facilities and security-based swap execution
facilities) and trade processing platforms. ICE Clear Credit may impose (a) reasonable
criteria to determine whether an execution venue has the capability to deliver the
necessary quality of service to be granted access to ICE Clear Credit, (b) reasonable
criteria to determine whether a trade processing platform has the capability to deliver
the necessary quality of service to be granted access to ICE Clear Credit and
connected through the ICE Clear Credit application programming interface, (c)
reasonable requirements as to risk filters and other credit risk management standards
with respect to transactions to be submitted to ICE Clear Credit for clearing, and (d)
reasonable costs on such execution venues and trade processing platforms and
Participants that use such venues and platforms; provided that in each case such
criteria or costs shall not unreasonably inhibit such open access and shall comply with
applicable law.
315.
Timing of Acceptance and Submission by Participants.
Each Participant must accept or reject each Trade submitted by or for it or its customers
as quickly as would be technologically practicable if fully automated systems were used
(in each case within the meaning of and as further provided in CFTC Rule 1.74(b)) and
(to the extent such Trade has not already been submitted to ICE Clear Credit at the time
of acceptance by such Participant) must submit such Trade to ICE Clear Credit as
quickly following such acceptance (or execution, if executed directly by such Participant)
as would be technologically practicable if fully automated systems were used.
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4.
MARGIN
401.
Margin Generally.
(a)
House Margin
ICE Clear Credit shall, following the close of business on each ICE Business
Day, and may, at any other time or times selected by ICE Clear Credit, determine
the Margin requirement for a Participant in respect of House Positions with
respect to each category of Initial Margin and of Mark-to-Market Margin (each, a
“Margin Category”, and the related Margin requirement, a “Margin
Requirement”). For each Margin Category for a Participant and for a given ICE
Business Day, ICE Clear Credit shall calculate a net amount (a “Net House
Margin Requirement”) (i) in the case of an Initial Margin Category, equal to the
Participant’s Margin Requirement for such Initial Margin Category as of such ICE
Business Day minus the Value of the Participant’s Margin held by ICE Clear
Credit as Margin for such Initial Margin Category and (ii) in the case of a Mark-toMarket Margin Category, equal to the Participant’s Margin Requirement for such
Mark-to-Market Margin Category (expressed as a positive number if owed by the
Participant and a negative number if owed by ICE Clear Credit) minus the Value
of the Participant’s Margin held by ICE Clear Credit as Margin for such Mark-toMarket Margin Category or plus the Value of ICE Clear Credit’s Margin held or
deemed held by the Participant as Margin for such Mark-to-Market Margin
Category, as applicable. With respect to each Margin Category for a Participant:
(i)
if the Net House Margin Requirement is negative, ICE Clear Credit shall
(unless the Participant is, or a determination by ICE Clear Credit is
pending as to whether the Participant is, in Default), with respect to
Eligible Margin having a Value as close as reasonably practicable to (but
not to exceed) the absolute value of the Net House Margin Requirement,
(A) in the case of Mark-to-Market Margin, Transfer such Eligible Margin to
the Participant, which Eligible Margin would, as applicable, either be
applied to a Net House Margin Requirement for an Initial Margin Category
or be available for withdrawal by the Participant, in accordance with the
ICE Clear Credit Procedures, to the extent there is any excess after
satisfying the Margin Requirement for each Initial Margin Category or (B)
in the case of Initial Margin, Transfer such Eligible Margin to the
Participant, in accordance with the ICE Clear Credit Procedures, to the
extent there is any excess after satisfying the Margin Requirement for
each Initial Margin Category.
(ii)
if the Net House Margin Requirement is positive, the Participant shall
Transfer to ICE Clear Credit, in accordance with the ICE Clear Credit
Procedures, Eligible Margin having a Value at least equal to the Net
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House Margin Requirement, with such Transfer required to be made prior
to the time established by ICE Clear Credit in the ICE Clear Credit
Procedures for this purpose on the ICE Business Day next following the
ICE Business Day to which the close of business Net House Margin
Requirement relates (or, if ICE Clear Credit notifies a Participant, in
accordance with the ICE Clear Credit Procedures, of a Net House Margin
Requirement other than in respect of its close of business determinations,
within one ICE Clear Credit business hour of such notice); provided that (i)
to the extent there is cash in a Participant’s House Margin Account in the
relevant currency, ICE Clear Credit may withdraw from such account such
cash to satisfy a Net House Margin Requirement for a Mark-to-Market
Margin Category for the relevant House Position(s), and adjust the
Participant’s Net House Margin Requirements accordingly; or
(iii)
(b)
if the Net House Margin Requirement is zero, no Margin shall be required
to be Transferred.
Client-Related Margin.
ICE Clear Credit shall, following the close of business on each ICE Business
Day, and may, at any other time or times selected by ICE Clear Credit, determine
the Margin Requirement for a Participant in respect of Client-Related Positions
with respect to each Margin Category.
(i) Initial Margin.
ICE Clear Credit shall calculate, in the case of an Initial Margin Category, the
Participant’s Margin Requirement for each Non-Participant Party Portfolio minus
the Value of the Margin held by ICE Clear Credit as Margin for such Initial Margin
Category allocated by ICE Clear Credit to such Non-Participant Party Portfolio
(each, a the “Non-Participant Party Portfolio Initial Margin Requirement”);
With respect to each Initial Margin Category for a Participant:
(A)
for each Non-Participant Party Portfolio Initial Margin Requirement that is
positive, the Participant shall Transfer to ICE Clear Credit, in accordance
with the ICE Clear Credit Procedures, Eligible Margin having a Value at
least equal to such Non-Participant Party Portfolio Initial Margin
Requirement, with such Transfer required to be made prior to the time
established by ICE Clear Credit in the ICE Clear Credit Procedures for this
purpose on the ICE Business Day next following the ICE Business Day to
which the close of business Non-Participant Party Portfolio Initial Margin
Requirement relates (or, if ICE Clear Credit notifies a Participant, in
accordance with the ICE Clear Credit Procedures, of a Non-Participant
Party Portfolio Initial Margin Requirement other than in respect of its close
of business determinations, within one ICE Clear Credit business hour of
such notice);
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(B)
following the settlement in full of all amounts due to be Transferred
to ICE Clear Credit pursuant to clause (A) above, for each NonParticipant Party Portfolio Initial Margin Requirement that is
negative, ICE Clear Credit shall (unless the Participant is, or a
determination by ICE Clear Credit is pending as to whether the
Participant is, in Default), with respect to Eligible Margin having a
Value as close as reasonably practicable to (but not to exceed) the
absolute value of such Non-Participant Party Portfolio Initial Margin
Requirement, Transfer such Eligible Margin to the Participant, in
accordance with the ICE Clear Credit Procedures;
(C)
if a Non-Participant Party Portfolio Initial Margin Requirement is zero, no
Margin shall be required to be Transferred in respect thereof;
(ii)
Mark-to-Market Margin.
ICE Clear Credit shall calculate, in the case of a Mark-to-Market Margin
Category, a net amount equal to the Participant’s net Margin Requirement for
such Mark-to-Market Margin Category for all Client-Related Positions in all NonParticipant Party Portfolios (expressed as a positive number if owed by the
Participant and a negative number if owed by ICE Clear Credit) minus the Value
of the Participant’s Margin held by ICE Clear Credit as Margin for such Mark-toMarket Margin Category or plus the Value of ICE Clear Credit’s Margin held or
deemed held by the Participant as Margin for such Mark-to-Market Margin
Category, as applicable (the “Net Client-Related Mark-to-Market Margin
Requirement”). With respect to each Mark-to-Market Margin Category for a
Participant:
(A)
if the Net Client-Related Mark-to-Market Margin Requirement is positive,
the Participant shall Transfer to ICE Clear Credit, in accordance with the
ICE Clear Credit Procedures, Eligible Margin having a Value at least equal
to the Net Client-Related Mark-to-Market Margin Requirement, with such
Transfer required to be made prior to the time established by ICE Clear
Credit in the ICE Clear Credit Procedures for this purpose on the ICE
Business Day next following the ICE Business Day to which the close of
business Net Client-Related Mark-to-Market Margin Requirement relates
(or, if ICE Clear Credit notifies a Participant, in accordance with the ICE
Clear Credit Procedures, of a Net Client-Related Mark-to-Market Margin
Requirement other than in respect of its close of business determinations,
within one ICE Clear Credit business hour of such notice);
(B)
if the Net Client-Related Mark-to-Market Margin Requirement is negative,
ICE Clear Credit shall (unless the Participant is, or a determination by ICE
Clear Credit is pending as to whether the Participant is, in Default), with
respect to Eligible Margin having a Value as close as reasonably
practicable to (but not to exceed) the absolute value of the Net Client-
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Related Mark-to-Market Margin Requirement, Transfer such Eligible
Margin to the Participant, in accordance with the ICE Clear Credit
Procedures; and
(C)
if the Net Client-Related Mark-to-Market Margin Requirement is zero, no
Margin shall be required to be Transferred in respect thereof.
Notwithstanding anything to the contrary herein, amounts required to be
Transferred between a Participant and ICE Clear Credit pursuant to any of
clauses (i)(A)-(C) and/or (ii)(A)-(C) above of this subsection (b) shall not
be netted or offset, except to the extent such netting or offset may be
permitted by applicable law (including CFTC regulation or interpretation
thereof).
(c)
Notwithstanding anything to the contrary herein, in determining each Participant’s
Margin Requirement as described above, ICE Clear Credit shall make separate
Margin Requirement calculations for a Participant’s Client-Related Positions and
for a Participant’s House Positions, notwithstanding that such positions would
otherwise be in the same Margin Category. In no event shall the Margin
Requirements for a Participant’s Client-Related Positions and House Positions
be netted or offset against each other (except as specifically provided in these
Rules), nor shall any Margin held or released in respect of Client-Related
Positions be applied at any time to any Margin Requirement in respect of House
Positions.
The Margin Requirement in respect of Initial Margin for a Participant’s ClientRelated Positions shall be calculated on a gross basis across each NonParticipant Party Portfolio (i.e., on the basis that all Client-Related Positions
related to different Non-Participant Party Portfolios have not been offset pursuant
to Rule 304).
(d)
“Eligible Margin” means (i) with respect to Initial Margin, (A) in the case of
satisfaction of an Initial Margin requirement, dollars or other currencies
acceptable to ICE Clear Credit for this purpose and (B) in the case of
substitutions of Initial Margin, assets, in the case of each of clauses (A) and (B),
as specified in Schedule 401 as in effect from time to time and (ii) with respect to
Mark-to-Market Margin, the currency in which the Contracts for the applicable
Mark-to-Market Margin Category are denominated. Currencies must be in
immediately available funds to qualify as Eligible Margin.
(e)
“Value” means, (i) with respect to Eligible Margin consisting of dollars or another
currency that qualifies as Eligible Margin for the applicable Margin Category, the
amount thereof converted, if applicable, to the currency of the relevant Margin
Requirement at such exchange rate as ICE Clear Credit in its discretion may
determine from time to time pursuant to the ICE Clear Credit Procedures, (ii) with
respect to Eligible Margin consisting of assets, other than currencies, that qualify
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as Eligible Margin for the applicable Margin Category, the value thereof as
determined by ICE Clear Credit (or its agent or custodian) pursuant to a
methodology established by ICE Clear Credit from time to time in the ICE Clear
Credit Procedures, and (iii) with respect to any currency or asset that does not
qualify as Eligible Margin for the applicable Margin Category, zero.
(f)
ICE Clear Credit shall establish and maintain a House Margin Account and a
Client Omnibus Margin Account for each Participant. All Initial Margin required
with respect to a Participant’s Client-Related Positions shall be Transferred to
such Participant’s Client Omnibus Margin Account. All Initial Margin required with
respect to House Positions of such Participant shall be Transferred to such
Participant’s House Margin Account.
(g)
ICE Clear Credit shall charge a Participant interest for any net Mark-to-Market
Margin Transferred by ICE Clear Credit to the Participant and shall pay a
Participant interest for any net Mark-to-Market Margin Transferred by the
Participant to ICE Clear Credit and for any cash Margin in such Participant’s
Margin Accounts, in each case at an interest rate and on a frequency determined
from time to time by ICE Clear Credit in the ICE Clear Credit Procedures.
(h)
A Participant may substitute, in accordance with the ICE Clear Credit Procedures
and applicable law, Eligible Margin for an amount of Margin in such Participant’s
House Margin Account or Client Omnibus Margin Account, as applicable, having
a Value not to exceed such substitute Eligible Margin.
(i)
Margin required to be provided by a Participant hereunder shall be provided at
the time and in the manner specified in the ICE Clear Credit Procedures. Where
Margin is available for withdrawal by a Participant in accordance with these
Rules, if such Participant requests such withdrawal on an ICE Business Day by
the deadline established in the ICE Clear Credit Procedures, ICE Clear Credit will
transfer such margin to the relevant account of the Participant on such ICE
Business Day.
(j)
Notwithstanding anything to the contrary herein, if ICE Clear Credit determines
one or more Non-Participant Party Portfolio Initial Margin Requirements or a Net
Client-Related Mark-to-Market Margin Requirement in respect of a time other
than its close of business determination (i.e., an intraday margin call) that would
otherwise be required to be Transferred by a Participant in accordance with
subsection (b) above, ICE Clear Credit may in lieu thereof increase the
applicable Margin Requirement for House Positions for the applicable Margin
Category.
(k)
Each Transfer of Mark-to-Market Margin shall constitute a settlement (within the
meaning of CFTC Rule 39.14) and shall be final as of the time ICE Clear Credit’s
accounts are debited or credited with the relevant payment.
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(l)
Once settlement of a Transfer of Mark-to-Market Margin in respect of the Margin
Requirement for a Mark-to-Market Margin Category is final, the fair value of the
outstanding exposures for the relevant Contracts in that Mark-to-Market Margin
Category (taking into account the Margin provided in respect of such Margin
Requirement) will be reset to zero.
...
Interpretations and Policies:
.01
Margin required to be Transferred by a Participant shall be
considered timely Transferred to ICE Clear Credit if (i) such
Participant’s settlement bank guarantees, in a form acceptable to
ICE Clear Credit, Transfer of such Margin prior to the time such
Margin would be due in accordance with these Rules and (ii) such
Margin is actually Transferred to ICE Clear Credit within a time
period established by ICE Clear Credit.
.02
For the purposes of Chapter 4, the term “Open Positions” shall also
include Trades that have been accepted by ICE Clear Credit
pursuant to Rule 309 but not yet novated or established because the
Novation Time has not yet occurred.
402.
Transfer of Title; Liens.
(a)
Each Participant (other than a Participant that is an FCM or a Broker-Dealer)
agrees that all right, title and interest in and to any cash Transferred by such
Participant to ICE Clear Credit under the terms of these Rules as Margin or
Collateral consisting of cash and all cash proceeds of any Margin or Collateral
(collectively, “Cash Margin”) shall vest in ICE Clear Credit free and clear of any
liens, claims charges or encumbrances. Upon the occurrence of a Default, ICE
Clear Credit shall be entitled to apply such cash Transferred to ICE Clear Credit
by such Defaulting Participant and any cash proceeds of the Margin and
Collateral of such Defaulting Participant to the Obligations of such Defaulting
Participant to ICE Clear Credit in accordance with the provisions herein; provided
that cash Transferred in respect of Client-Related Positions and constituting
Margin and cash proceeds of Margin provided in respect of Client-Related
Positions may only be applied to Obligations in respect of Client-Related
Positions as set forth herein and only subject to the limitation set forth in
subsection (h) below. Prior to the completion of the requirements under these
Rules for the occurrence of a Default, ICE Clear Credit shall also be entitled to
apply such cash to the Obligations of a Participant (but subject to the proviso to
the preceding sentence) if such Participant has defaulted with respect to making
a payment or delivery when due under these Rules or a Contract.
(b)
Each Participant hereby grants to ICE Clear Credit a continuing lien and security
interest in and to and right of set-off against all of the Participant’s right, title and
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interest, whether now owned or existing or hereafter acquired or arising, in and to
(i) all securities, financial assets and other property (other than cash) Transferred
by such Participant to ICE Clear Credit under the terms of these Rules as Margin
or Collateral not constituting cash, (ii) all non-cash proceeds of any of the
foregoing and (iii) in the case of a Participant that is an FCM or a Broker-Dealer,
any cash Transferred by such Participant to ICE Clear Credit under the terms of
these Rules as Margin or Collateral consisting of cash and all cash proceeds of
any Margin or Collateral, in each case as security for the Obligations of such
Participant to ICE Clear Credit (jointly, (i), (ii) and (iii), the “Pledged Items”);
provided that Pledged Items Transferred in respect of Client-Related Positions
and constituting Margin shall only secure Obligations of such Participant in
respect of Client-Related Positions and shall be subject to the limitation set forth
in subsection (h) below and applicable law. Upon the withdrawal of Pledged
Items by a Participant from its House Margin Account or Client Omnibus Margin
Account, as applicable, in accordance with these Rules and the ICE Clear Credit
Procedures, the security interest and lien granted hereunder on such Pledged
Items will be released immediately without any further action by either party. With
respect to Pledged Items in the form of cash credited to the House Account of a
Participant and constituting Mark-to-Market Margin, ICE Clear Credit will have
the right to sell, pledge, rehypothecate, assign, invest, use or otherwise dispose
of or use in its business such Pledged Items, free from any claim or right of any
nature whatsoever of the Participant, including any equity or right of redemption
by the Participant, subject to any requirements of the Rules, and with respect to
other Pledged Items credited to the House Account of a Participant constituting
Initial Margin, ICE Clear Credit may use, invest or apply such Pledged Items as
permitted by the Rules. With respect to Pledged Items credited to the Client
Omnibus Margin Account of a Participant, ICE Clear Credit will only have the
right to use, invest or apply such Pledged Items as permitted by the Rules and
applicable law.
(c)
Upon the occurrence of a Default, ICE Clear Credit may exercise all rights of a
secured party under applicable law and under these Rules. ICE Clear Credit
may, without being required to give any notice, except as may be required by
law, sell or otherwise apply any Pledged Items Transferred to, or otherwise under
the control of, ICE Clear Credit to satisfy the Participant’s Obligations.
Notwithstanding the foregoing, ICE Clear Credit may only exercise such rights
with respect to, or otherwise dispose of or sell, Pledged Items Transferred in
respect of Client-Related Positions and constituting Margin (including Pledged
Items Transferred to the Client Omnibus Margin Account) for the purposes of
satisfying any outstanding Obligations of a Defaulting Participant in respect of
Client-Related Positions and subject to the limitation set forth in subsection (h)
below. Upon any such sale, ICE Clear Credit shall have the right to deliver,
assign and transfer to the purchaser thereof the Pledged Items so sold. Each
purchaser at any such sale shall hold the Pledged Items so sold to it absolutely
and free from any claim or right of whatsoever kind, including any equity or right
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of redemption of the Participant which may be waived, and the Participant, to the
extent permitted by law, hereby specifically waives all rights of redemption, stay
or appraisal which it has or may have under any law now existing or hereafter
adopted.
(d)
Each Participant represents that it is the sole owner of or otherwise has the right
to Transfer to ICE Clear Credit the Pledged Items subject to the foregoing lien
and security interest, free and clear of any security interest, lien, encumbrance or
other restrictions in favor of any other person, and agrees not to create or permit
to exist any such security interest, lien, encumbrance or other restrictions. The
preceding sentence shall not preclude a Participant from Transferring to ICE
Clear Credit Pledged Items that were provided to Participant by a Non-Participant
Party and in which the Non-Participant Party has granted the Participant a
security interest to secure the Non-Participant Party’s obligations to the
Participant in respect of Client-Related Positions; provided that Participant
agrees that any such security interest in favor of Participant is in all respects
subject to the rights of ICE Clear Credit in respect of such Pledged Items
hereunder and Participant shall not, and shall not attempt to (i) exercise any
rights or remedies or bring any proceeding or action with respect to such Pledged
Items until such Pledged Items are released from the lien and security interest of
ICE Clear Credit hereunder or (ii) otherwise interfere with, delay the exercise of
or take any action to affect ICE Clear Credit’s rights hereunder with respect to
such Pledged Items. Each Participant agrees to take any action reasonably
requested by ICE Clear Credit that may be necessary or desirable for ICE Clear
Credit to create, preserve, perfect or validate the foregoing lien and security
interest or to enable ICE Clear Credit to exercise or enforce its rights with respect
thereto. With respect to any Pledged Items consisting of securities and other
financial assets Transferred by ICE Clear Credit under the terms of these Rules,
each Participant agrees it will accept securities and financial assets of the same
issuer, type, nominal value, description and amount as those securities and
financial assets initially Transferred by such Participant to ICE Clear Credit.
(e)
Subject to subsection (f) below, ICE Clear Credit agrees that all right, title and
interest in and to any cash Transferred by ICE Clear Credit to a Participant under
the terms of these Rules and not used by or on behalf of the Participant to satisfy
a Margin Requirement shall vest in such Participant free and clear of any liens,
claims, charges or encumbrances.
(f)
With respect to Pledged Items Transferred to the Client Omnibus Margin Account
of a Participant under Rule 406, ICE Clear Credit agrees that such Pledged
Items, together with any proceeds thereof, shall constitute customer property
held for the benefit of the Non-Participant Parties of Participant in accordance
with applicable law and Rule 406, subject to the security interest and lien of ICE
Clear Credit pursuant to subsection (b). For the avoidance of doubt, each
Participant shall be obligated to Transfer Margin to ICE Clear Credit in respect of
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Client-Related Positions in accordance with these Rules notwithstanding any
failure of a Non-Participant Party to provide such Participant with related margin
in respect of such Client-Related Position.
(g)
Where a Participant makes a partial Transfer of the Margin required to be
Transferred on any date to ICE Clear Credit in respect of both Client-Related
Positions and House Positions, such Margin shall be applied first to the
outstanding Margin Requirement in respect of the Client-Related Positions until
satisfied and thereafter to the outstanding Margin Requirement in respect of the
House Positions, notwithstanding any designation made by the Participant as to
the application of such Margin.
(h)
Notwithstanding anything to the contrary herein, ICE Clear Credit shall only be
permitted to use, apply or otherwise exercise rights pursuant to subsections (a),
(b) and (c) above with respect to Cash Margin and Pledged Items (or the
proceeds thereof) posted in respect of Client-Related Positions and constituting
Initial Margin to the extent permitted under applicable law, including without
limitation CFTC Rule 22.15 (and interpretations of the CFTC or its staff in respect
thereof). For the avoidance of doubt, but subject to the foregoing sentence, ICE
Clear Credit shall be permitted to select the specific assets so used or applied.
(i)
Intentionally omitted.
(j)
ICE Clear Credit may (i) invest Initial Margin in the form of cash in accordance
with its investment policies and applicable law and (ii) in connection with a
Participant default, use any Participant’s cash, securities or other property
(whether or not such Participant is itself in default) constituting Initial Margin for
its House Account from time to time to support liquidity arrangements (including
borrowing, repurchase transactions, exchange of Initial Margin for other assets or
similar transactions) of ICE Clear Credit relating to payment obligations of ICE
Clear Credit, in a manner consistent with ICE Clear Credit’s Procedures and
applicable law, including by way of assignment, transfer, exchange, pledge,
repledge or creation of a lien on or security interest in such Initial Margin, under
which equivalent value is provided for such Initial Margin and such equivalent
value will be held as Initial Margin and used or applied by ICE Clear Credit solely
for the purposes for which Initial Margin in the House Account may be used
pursuant to these Rules. Without limiting the foregoing, ICE Clear Credit may on
a temporary basis and in connection with a Participant default (A) exchange any
Participant’s Initial Margin in its House Account held in the form of cash for
securities of equivalent value, and/or (B) exchange a Participant’s Initial Margin
in its House Account held in the form of cash in one currency for cash of
equivalent value in a different currency, in each case on such terms as ICE Clear
Credit may determine in accordance with ICE Clear Credit Procedures. ICE Clear
Credit will reverse any such exchange involving a Participant’s Initial Margin in its
House Account as soon as practicable following the conclusion of the event
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requiring the exchange of a Participant’s Initial Margin for liquidity purposes. Prior
to the occurrence of a Default with respect to a Participant, ICE Clear Credit may
use, invest or apply the Initial Margin of such Participant only as set forth in this
Rule 402(j) or the last sentence of Rule 402(a). This Rule 402(j) shall not be
deemed to limit ICE Clear Credit’s rights to use or apply a Participant’s Initial
Margin as permitted in the Rules, under applicable law or otherwise following the
occurrence of a Default of that Participant.
403.
Initial Margin.
“Initial Margin” shall consist of the Margin Categories listed in this Rule (collectively,
the “Initial Margin Categories”). With respect to each Initial Margin Category, ICE
Clear Credit shall determine the Margin Requirement pursuant to one or more
methodologies established by ICE Clear Credit from time to time in the ICE Clear Credit
Procedures. To protect itself and the other Participants, ICE Clear Credit may deviate
from applying the methodologies uniformly to each Participant if ICE Clear Credit
determines it appropriate to do so for risk management purposes in accordance with the
ICE Clear Credit Procedures. Margin Requirements with respect to an Initial Margin
Category shall be expressed as a positive number or as zero, as applicable.
(a)
“Portfolio Risk Margin” means the Margin ICE Clear Credit requires related to
the size and risk of a Participant’s Open Positions.
(b)
“Physical Settlement Margin” means the Margin ICE Clear Credit requires to
secure a Participant’s obligations in respect of a CDS Contract that is subject to
Physical Settlement.
(c)
“Super or Special Margin” means additional Margin ICE Clear Credit may
require for any purpose at any time and from time to time in its sole discretion.
404.
Mark-to-Market Margin.
(a)
“Mark-to-Market Margin” means the Margin required as a result of the market
value of a Participant’s Open Positions. Each currency in which Contracts are
denominated shall be treated as a separate Margin Category (each, a “Mark-toMarket Margin Category”). With respect to a Participant, the Margin
Requirement for a Mark-to-Market Margin Category shall be the sum of the value
of each Open Position in such Margin Category, determined by ICE Clear Credit
by the application of the Mark-to-Market Price for the relevant Contract
(expressed as a positive number if owed by the Participant and a negative
number if owed by ICE Clear Credit). Margin Requirements with respect to a
Mark-to-Market Margin Category shall be expressed as a positive or negative
number or as zero, as applicable.
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(b)
“Mark-to-Market Price” means, for each Contract, the price determined in the
manner designated by ICE Clear Credit for such Contract from time to time in the
ICE Clear Credit Procedures. Notwithstanding the foregoing, when deemed
necessary by ICE Clear Credit in order to protect the respective interests of ICE
Clear Credit and Participants, ICE Clear Credit may set the Mark-to-Market Price
for any Contract at a price deemed appropriate by ICE Clear Credit under the
circumstances. When ICE Clear Credit determines that circumstances
necessitate the application of the preceding sentence, the reasons for that
determination and the basis for the establishment of the Mark-to-Market Price in
such circumstances shall be recorded as provided in the ICE Clear Credit
Procedures. To aid in the establishment of Mark-to-Market Prices, Participants
are required to submit end of day prices in accordance with the ICE Clear Credit
Procedures. The submission of those prices may result in a bilateral transaction
which will subsequently be cleared in accordance with the ICE Clear Credit
Procedures.
405.
Intentionally Omitted.
406. Certain Requirements with Respect to Client-Related Positions of FCM
Participants and Broker-Dealer Participants.
The provisions of this Rule 406 shall apply to Participants that are FCMs and/or BrokerDealers in respect of Client-Related Positions. Without limiting Rule 312, ICE Clear
Credit shall have no obligation or liability to any Non-Participant Party in respect of a
Client-Related Position or any transaction, agreement or arrangement between a
Participant and any Non-Participant Party. For the avoidance of doubt, Participants
carrying Client-Related Positions that are swaps must be FCMs, and Participants
carrying Client-Related Positions that are security-based swaps must be BrokerDealers.
(a)
The relationship between a Non-Participant Party and a Participant in respect of
Client-Related Positions for that Non-Participant Party shall be documented
pursuant to and governed by a futures account agreement or clearing agreement
(or equivalent document) agreed between such parties (“Customer Account
Agreement”), subject to the applicable provisions of the Rules.
(b)
A Participant shall require each Non-Participant Party to provide margin or
collateral (“Non-Participant Collateral”) in an amount no less than the amount
of Margin of each applicable Margin Category required on a gross basis by ICE
Clear Credit with respect to the relevant Client-Related Position(s); provided that
ICE Clear Credit may require additional margin with respect to Non-Participant
Parties (or certain categories of Non-Participant Parties) as determined by ICE
Clear Credit from time to time as required by applicable law. For this purpose,
“gross basis” shall mean that the margin requirement will be determined giving
effect to any offset of such Client-Related Positions against Client-Related
Positions relating to the same Non-Participant Party, but without any offset of
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such Client-Related Positions against Client-Related Positions relating to a
different Non-Participant Party.
(c)
(i) A Participant shall receive, hold and use all Non-Participant Collateral only as
permitted under CEA Section 4d(f) and the rules thereunder (including Part 22 of
the CFTC Regulations and any interpretations thereof by the CFTC or its staff)
and Securities Exchange Act Sections 3E(b) and/or 15(c)(3) and the rules
thereunder, as applicable, and to the extent not inconsistent with the foregoing,
as set forth in these Rules and the ICE Clear Credit Procedures (the “Swap
Customer Segregation Requirements”). All property Transferred to ICE Clear
Credit by Participant on behalf of Non-Participant Parties shall be held in the
Client Omnibus Margin Account of such Participant as cleared swaps customer
property in accordance with the Swap Customer Segregation Requirements.
Pursuant to this Rule, Participant shall satisfy the requirement to obtain any
segregation acknowledgement letter from ICE Clear Credit under the Swap
Customer Segregation Requirements.
(ii) Without limiting subsection (c)(i) above, the Client-Related Positions
(including, solely to the extent permitted by applicable rules, orders or
exemptions of the CFTC and SEC, Client-Related Positions that are securitybased swaps) and related Non-Participant Collateral shall be part of the cleared
swaps account class for purposes of Part 190 of the CFTC regulations.
(d)
Property held in the Client Omnibus Margin Account may only be applied in
respect of Client-Related Positions as provided in these Rules and only to the
extent permitted by the Swap Customer Segregation Requirements (including
CFTC Rule 22.15).
(e)
ICE Clear Credit shall pass through to the relevant Participant the return on any
assets in the Client Omnibus Margin Account (including any return provided by
ICE Clear Credit on Cash therein), less administrative costs as determined by
ICE Clear Credit.
(f)
In connection with any Client-Related Position and related Non-Participant
Collateral, Participant shall keep and maintain written records required by the
Swap Customer Segregation Requirements. Each Participant shall provide such
reports to ICE Clear Credit with respect to Non-Participant Parties and their
related Client-Related Positions and Non-Participant Collateral as and when
required under the Swap Customer Segregation Requirements and otherwise
upon request of ICE Clear Credit and upon such other basis, if any, as is
provided in the ICE Clear Credit Procedures.
(g)
Without limiting Rule 312, but subject to any contrary requirements of law: ICE
Clear Credit shall not be liable to any Participant, Non-Participant Party or other
Person for any losses, claims, liabilities, damages or expenses arising out of or
relating to the holding, investment or use of the Client Omnibus Margin Account
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or assets credited thereto from time to time (“Custodial Losses”), except to the
extent such Custodial Losses result from the gross negligence or willful
misconduct of ICE Clear Credit. No Participant shall be liable to any NonParticipant Party for any Custodial Losses, except to the extent such Custodial
Losses result from the gross negligence or willful misconduct of the Participant.
ICE Clear Credit shall have no duties or responsibilities with respect to the Client
Omnibus Margin Accounts except as expressly set forth in these Rules and
applicable law. ICE Clear Credit shall have no responsibility for any investment
decisions by a Participant (or any other Person) with respect to assets in the
Client Omnibus Margin Account or for the results of any such investments and
shall have no obligation to monitor the value of the assets in the Client Omnibus
Margin Account or any requirements set forth in any applicable agreement
between Participant and a Non-Participant Party. ICE Clear Credit shall have no
responsibility for the compliance by any Participant or Non-Participant Party with
its obligations under any such agreement. ICE Clear Credit shall be under no
obligation to inquire into, and shall be fully protected in relying on, any
instructions or directions with respect to the Client Omnibus Margin Account or
the assets therein or transferred thereto or therefrom under these Rules received
from a Person ICE Clear Credit believes to be authorized to act on behalf of the
appropriate Participant. In no event shall a Non-Participant Party attempt to
interfere with the ability of ICE Clear Credit to exercise its rights as set forth in the
Rules.
(h)
Except with respect to Client-Related Positions resulting from transactions
entered into on a designated contract market or national securities exchange,
each Non-Participant Party for which a Participant clears a Client-Related
Position must be an “eligible contract participant” as defined in the CEA.
(i)
Each Non-Participant Party consents to the disclosure by its Participant to ICE
Clear Credit of such Non-Participant Party’s identity and information concerning
the Client-Related Positions held by such Participant for such Non-Participant
Party and related margin as set forth in the Rules.
(j)
Each Non-Participant Party consents and agrees that in the event a Default has
occurred with respect to its Participant or in the event of the insolvency of the
Participant, (i) the Participant (or its receiver, insolvency trustee or similar official)
and/or ICE Clear Credit shall be entitled to attempt to transfer its Client-Related
Positions in accordance with Part 190 of the CFTC regulations, other applicable
law and the Default Portability Rules, (ii) such Non-Participant Party appoints ICE
Clear Credit as its lawful agent and attorney-in-fact to take such actions on behalf
of the Non-Participant Party as ICE Clear Credit determines necessary or
appropriate in order to effectuate the Default Portability Rules with respect to the
Client-Related Positions carried by the Participant for such Non-Participant Party,
including executing any document or instrument with respect to the transfer of
the Client-Related Positions and/or exercising rights and remedies to transfer
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such positions; (iii) the Non-Participant Party shall take no action, including but
not limited to attempting to obtain a court order, that could interfere with the
ability of the Participant, any receiver, insolvency trustee or similar official, or ICE
Clear Credit to take action contemplated by its Rules, including, without
limitation, the transfer of positions and the transfer of related margin or collateral;
(iv) any determination made by ICE Clear Credit with respect to the termination
value of a Client-Related Position under the Rules shall be conclusive and
binding absent manifest error and (v) any amount payable by such NonParticipant Party in respect of the termination of a Client-Related Position held by
the Defaulting Participant for such Non-Participant Party shall not be netted or
offset against any amount owed by such Participant to such Non-Participant
Party under any other agreement or instrument and shall be paid directly to or as
directed by ICE Clear Credit.
(k)
Each Participant shall be required to obtain the agreement of each NonParticipant Party to the provisions of the Rules applicable to or otherwise
referring to Non-Participant Parties (including Rule 312 and this Rule 406) and
hereby represents and warrants to ICE Clear Credit that it has obtained such
agreement.
(l)
ICE Clear Credit will not accept the deposit of Margin from a Participant in
respect of Client-Related Positions in excess of the amount required by ICE
Clear Credit, within the meaning of CFTC Rule 22.13(c). For the avoidance of
doubt, any Margin deposited with ICE Clear Credit that subsequently exceeds
the amount required by ICE Clear Credit as a result of a change in the amount
required or a change in the Value of such Margin will become available for
withdrawal in accordance with Rule 401.
407.
UK and European Issues
(a)
For the purposes of this Rule 407 only:
(i)
“Offer to the Public” in relation to any Securities in any Relevant Member
State means the communication in any form and by any means of
sufficient information on the terms of the offer and any Securities to be
offered so as to enable an investor to decide to purchase or subscribe for
those Securities, as the same may be varied in that Relevant Member
State by any measure implementing the Prospectus Directive in that
Relevant Member State;
(ii)
“PD Contract” means any contract that is a Security and which is (A) a
contract cleared or proposed to be cleared by ICE Clear Credit; or (B) a
contract in relation to which ICE Clear Credit provides or proposes to
provide services as collateral agent; or (C) a contract on terms identical or
similar to a contract falling under (A) or (B);
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(b)
(c)
(iii)
“Prospectus Directive” means Directive 2003/71/EC and includes any
relevant implementing measure in each Relevant Member State and any
reference to a particular article of the Prospectus Directive shall be
deemed to also be a reference to the relevant provision of the relevant
implementing measure in each Relevant Member State;
(iv)
“Relevant Member State” means, in relation to paragraph (b) of this Rule
or any of the other definitions in this paragraph (a), any member state of
the European Economic Area which has implemented the Prospectus
Directive or, in relation to paragraphs (i), (j), (k), (l) and (m) of this Rule,
means any member state of the European Economic Area which has
implemented the Data Protection Directive; and
(v)
“Securities” means ‘securities’ within the meaning of article 2(1)(a) of the
Prospectus Directive as the same may be varied in any Relevant Member
State by any measure implementing the Prospectus Directive in that
Relevant Member State.
ICE Clear Credit has not authorized, nor does it authorize, the making of any
Offer to the Public of any PD Contract in circumstances in which an obligation
arises for ICE Clear Credit, a Participant or any other person to publish or
supplement a prospectus for any such offer. Accordingly, Participants shall not
make any such Offer to the Public in relation to PD Contracts. Without prejudice
to the generality of the foregoing, no Participant shall enter into a PD Contract: (i)
with ICE Clear Credit; or (ii) with another Participant pursuant to these Rules; or
(iii) with any of its customers on a back-to-back basis with a contract falling under
(i) or (ii), unless one or more of the following conditions is satisfied:
(A)
in the case of any PD Contract to which ICE Clear Credit is a party, the
Participant is a “qualified investor” (as defined article 2(1)(e) of the
Prospectus Directive);
(B)
in the case of any PD Contract to which ICE Clear Credit is not a party,
the Participant and its counterparty are both “qualified investors” (as
defined in article 2(1)(e) of the Prospectus Directive);
(C)
the minimum total consideration is at least €50,000; or
(D)
the requirement to publish or supplement a prospectus under the
Prospectus Directive otherwise does not apply.
Each Participant shall be deemed to represent and warrant to ICE Clear Credit
that it has complied and will comply with all applicable provisions of the Financial
Services and Markets Act 2000 (as amended, “FSMA”) with respect to anything
done by it in connection with the clearing services provided, and contracts
offered, by ICE Clear Credit in, from or otherwise involving the United Kingdom.
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(d)
Paragraphs (e), (f), (g) and (h) of this Rule shall cease to apply on such date that
ICE Clear Credit becomes a recognized overseas clearing house in the United
Kingdom.
(e)
Participants and other persons are hereby given notice that ICE Clear Credit is
not a recognized clearing house or recognized overseas clearing house
(“ROCH”) in the United Kingdom.
(f)
These Rules and any other document or material produced by ICE Clear Credit
may be distributed only to persons who: (i) are “investment professionals” as
defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial
Promotion) Order 2005 (as amended, the “Financial Promotion Order”); (ii) are
persons falling within Article 49(2)(a) to (d) (“high net worth companies,
unincorporated associations etc”) of the Financial Promotion Order; (iii) are
outside the United Kingdom in circumstances in which Article 12 of the Financial
Promotion Order (“communications to overseas recipients”) applies; or (iv) are
persons to whom an invitation or inducement to engage in investment activity
(within the meaning of the FSMA) in connection with the clearing services
provided, and contracts offered, by ICE Clear Credit may otherwise lawfully be
communicated or caused to be communicated (all such persons together being
referred to as “Relevant Persons”). These Rules and such other documents and
materials are directed only at Relevant Persons and must not be acted on or
relied on by persons who are not Relevant Persons. Any investment or
investment activity to which these Rules or such other documents or materials
relate is available only to Relevant Persons and will be engaged in only with
Relevant Persons.
(g)
Each Participant shall be deemed to represent and warrant to ICE Clear Credit
that it has only communicated or caused to be communicated, and will only
communicate or cause to be communicated, any invitation or inducement to
engage in investment activity (within the meaning of Section 21 of the FSMA),
received by it in connection with the clearing services provided, or contracts
offered, by ICE Clear Credit, in circumstances in which Section 21(1) of the
FSMA would not be breached by ICE Clear Credit.
(h)
Without prejudice to the generality of paragraphs (f) and (g) of this Rule,
Participants shall not enter into any contract with any person that is not a
Relevant Person on a back-to-back basis either: (i) with a contract to which ICE
Clear Credit is counterparty; or (ii) with a contract to which another Participant is
counterparty in circumstances in which ICE Clear Credit provides services as
collateral agent.
(i)
ICE Clear Credit shall be entitled to Process any Personal Data provided to it by
Participants for the purpose of exercising any rights ICE Clear Credit has under
these Rules or the Participant Agreement, including Processing required to
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comply with ICE Clear Credit’s legal and regulatory obligations as a clearing
house or bank.
(j)
ICE Clear Credit agrees that it will:
(i)
keep all Personal Data confidential only insofar as this is required under
the Participant Agreement;
(ii)
ensure that access to Personal Data shall only be provided to those of its
employees or service providers who need access to such data for the
performance of their duties for the purposes set out in Rule 407(i). ICE
Clear Credit will ensure that any such transfers of Personal Data to third
party service providers will be subject to contractual requirements to
safeguard Personal Data equivalent to those set out in this Rule 407(j);
(iii)
take adequate technical and organizational security measures to
safeguard Personal Data against unauthorized access, destruction,
disclosure, transfer, or other improper use;
(iv)
provide access to any Participant to the Personal Data which have been
provided by that Participant, to enable that Participant to provide relevant
Data Subjects with access to such Personal Data. ICE Clear Credit shall
refer Data Subjects requesting access to their Personal Data to the
relevant Participant and shall also, at the request of any Participant,
amend, correct, delete or add to Personal Data that have been supplied
by that Participant to ensure that such Personal Data are accurate and
complete;
(v)
as soon as reasonably practical cease processing any Personal Data
where it receives notice from any Participant that consent to Processing
has been revoked by a Data Subject;
(vi)
promptly notify any Participant of any accidental or unauthorized access,
destruction, disclosure, transfer or other improper use of Personal Data
that have been supplied by such Participant, after ICE Clear Credit
becomes aware of any such access, destruction, disclosure, transfer or
other improper use, or of any complaints by individuals or third parties that
involve or pertain to such Personal Data;
(vii)
co-operate with any Participant in responding to any inquiry, complaint, or
claim from a Supervisory Authority or any Data Subject relating to the
Processing of Personal Data provided by that Participant;
(viii)
comply with all reasonable instructions of Participants to ensure ICE Clear
Credit’s compliance with its obligations under this Rule 407(j); and
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(ix)
make reasonable periodic inquiries into its compliance with its obligations
under this Rule 407(j).
(k)
To the extent that ICE Clear Credit is a Processor in respect of such Personal
Data, ICE Clear Credit shall Process such Personal Data provided to it by any
Participant in accordance with any reasonable instructions of the relevant
Participant, which instructions shall permit the Processing of such Personal Data
for the purposes set out in Rule 407(i).
(l)
Each Participant, in relation to all Personal Data provided by it to ICE Clear
Credit, shall ensure that:
(m)
(i)
where consent is required, all relevant Data Subjects have consented to
their Personal Data being disclosed to ICE Clear Credit for Processing in
accordance with these Rules, including any onward transfer to a
jurisdiction outside the European Economic Area by either ICE Clear
Credit or any relevant third party;
(ii)
the disclosure of Personal Data by the Participant to ICE Clear Credit will
be in each case and in all respects lawful; and
(iii)
notice of the disclosure of their Personal Data to ICE Clear Credit for
Processing in accordance with these Rules will be provided to all relevant
Data Subjects prior to any such disclosure.
For the purposes of Rules 407(i), (j), (k), (l) and (m) only:
(i)
the terms “Processor,” “Process(ing)” and “Personal Data” each have
the meaning given to such terms in the Data Protection Directive;
(ii)
the term “Data Subject(s)” shall mean an individual who is the subject of
Personal Data;
(iii)
the term “Supervisory Authority” shall mean the data protection authority
in the applicable European state; and
(iv)
the term “Data Protection Directive” shall mean Directive 95/46 EC and
includes any relevant implementing measure in each Relevant Member
State.
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5.
RISK COMMITTEE
501.
The Risk Committee.
ICE Clear Credit shall establish a committee that includes representatives of
Participants (the “Risk Committee”) as provided in Rule 503. Notwithstanding anything
to the contrary in these Rules, the Board shall not have any obligation to accept any
proposal made by, or take any action proposed by, the Risk Committee, and any
deliberation and/or decision by the Board with respect to any such proposal shall be
made at the sole discretion of the Board, with no obligation whatsoever to the Risk
Committee in respect of such deliberation or decision.
502.
Specified Actions.
ICE Clear Credit shall not take nor permit to be taken any of the following actions
without prior consultation with the Risk Committee (“Specified Actions”):
(a)
accept for clearing any types of transactions other than the credit default swaps
published by ICE Clear Credit on its website (“Approved Products”) and, with
respect to new Contracts (including for Approved Products) or the then-existing
Contracts, establish, impose, make any change or addition to or deletion from or
otherwise modify, directly or indirectly, (collectively, “Modify” and any such
action, a “Modification”) the Rules, or, to the extent directly and materially
relating thereto, the ICE Clear Credit Procedures or any other governing
provisions, (the Rules, such ICE Clear Credit Procedures and such other
governing provisions, collectively, the “ICE Provisions”) relating to the specific
characteristics of a Contract or make the determination that a proposed
Modification to the ICE Provisions relating to the specific characteristics of a
Contract is not a Contract Modification (as defined in Rule 616), it being
understood that adding new series or versions of an index to an existing Contract
or a new coupon or tenor for an existing Contract as contemplated by the Rules
governing such Contract shall not be considered a Modification;
(b)
(i) Modify the ICE Provisions that relate to Margin, including, without limitation,
(A) the methodology for calculating any Margin Requirement or the components
thereof, (B) the types of currency or assets that qualify as Eligible Margin or the
methodology and discounts for calculating the Value thereof, (C) the
methodology for determining the interest rate charged or credited for cash
Margin, (D) provisions relating to the application, or the use, rehypothecation or
investment, of Margin and (E) provisions relating to Physical Settlement Margin
or (ii) Modify the ICE Provisions to include material obligations relating to, or
otherwise materially affecting, the manner in which Participants or their Affiliates
interact with their customers and/or conduct their business outside of the
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Participant’s direct dealings with ICE Clear Credit, including, without limitation,
with respect to margin, collateral or other credit support provided by customers;
(c)
Modify the ICE Provisions that relate to (i) the structure, size or application of the
General Guaranty Fund, (ii) the methodology for calculating a Participant’s
Required Contribution or the components thereof, (iii) the types of currency or
assets eligible for, or valuation methodology or discounts applied to, a
Participant’s Guaranty Fund contribution, (iv) the Additional Assessment Limit, (v)
the time period for, or means by which, Collateral is returned to a Participant, (vi)
the methodology for determining the interest rate credited for Collateral on
deposit in the General Guaranty Fund, (vii) the methodology and procedures for
applying amounts on deposit in General Guaranty Fund and recoveries related
thereto, (viii) provisions relating to the use, rehypothecation or investment of
Collateral on deposit in the General Guaranty Fund or (ix) the size, form, timing,
investment guidelines, valuation or priority scheme with respect to the ICE Clear
Credit Priority Contribution or the ICE Clear Credit Pro Rata Contribution;
(d)
Modify the ICE Provisions that relate to (i) the Closing-out Process, the CDS
Default Committee or the other rights and obligations of ICE Clear Credit upon
the Default of a Participant or the occurrence of an ICE Clear Credit Default, (ii)
the definition of ICE Clear Credit Default or Default or the process required to
determine that a Default has occurred, (iii) the definition of Termination Event,
the process required to determine that a Termination Event has occurred, or the
rights and obligations of ICE Clear Credit upon the occurrence of a Termination
Event with respect to a Participant, (iv) the process for dispute resolution or (v)
the process for effecting physical settlement of Contracts or the allocation
methodology relating thereto;
(e)
Modify the ICE Provisions that relate to (i) ICE Clear Credit or any other Person
seeking the consent of, or engaging in consultation with, the Risk Committee or
any other specified body or other Person, (ii) the delegation of responsibility for
an action or determination to a Person other than ICE Clear Credit, (iii) ICE Clear
Credit or any other Person applying a particular standard for an action or
determination, including, without limitation, Rule 615 (or any successor Rule
thereto) or (iv) Chapter 7 of these Rules (or any successor Chapter thereto);
(f)
Modify the ICE Provisions that relate to open access to the clearing system
operated by ICE Clear Credit in accordance with these Rules for all execution
venues and all Trade processing platforms, as contemplated by Rule 314 (or any
successor Rule thereto);
(g)
Modify this Chapter of the Rules or Modify any other Risk Committee Provisions
(as defined in Rule 504); and
(h)
Any action that must be submitted to the Risk Management Subcommittee under
Rule 510.
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503.
Composition of the Risk Committee; Confidentiality.
(a)
The composition of the Risk Committee shall be as follows:
(i)
The Risk Committee shall consist of twelve members.
(ii)
Each member of the Risk Committee shall have risk management
experience and expertise and shall be subject to the approval of the
Board, such approval not to be unreasonably withheld, conditioned or
delayed.
(iii)
Three of the members of the Risk Committee shall be comprised of (A) a
member of the Board who is independent in accordance with the
requirements of each of the New York Stock Exchange listing standards,
the U.S. Securities Exchange Act of 1934, as amended, and
Intercontinental Exchange, Inc.’s Board of Director Governance Principles
(such requirements, the “Independence Requirements” and such
member, the “Independent ICE Manager”) and (B) two officers of ICE
Clear Credit from among the Chief Executive Officer, President, Chief
Financial Officer and Chief Risk Officer, each appointed by ICE US
Holding Company L.P. (including any successor, the “ICE Parent”), a
Cayman Islands exempted limited partnership, by written notice to the
Board;
(iv)
The other nine members of the Risk Committee will be appointed as
specified below (the “Participant Appointees”);
(v)
“Participant Group” means a Participant and its Affiliates, if any, such
that, if two or more Participants are Affiliates, collectively they shall
constitute a Participant Group.
(vi)
The composition of the Participant Appointees shall be reconstituted on
March 14, 2012 and each one year anniversary thereafter (or if any such
day is not an ICE Business Day, the next ICE Business Day) as follows
(each such date, a “Risk Committee Reconstitution Date,” and the
twelve full consecutive calendar months (including March through
February) ending at the calendar month-end prior to a Risk Committee
Reconstitution Date, an “Eligibility Determination Period”) (subject to
paragraph (ii) above):
(A)
among those Participant Groups that have an incumbent member
on the Risk Committee, those Participant Groups that have the six
highest Participant Activities for the immediately preceding
Eligibility Determination Period (each, a “Top Six Incumbent
Participant Group”) shall have the right to retain such member on
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the Risk Committee until the next Risk Committee Reconstitution
Date;
(B)
among the Participant Groups that are not Top Six Incumbent
Participant Groups, the Participant Groups that have the three
highest Participant Activities for the immediately preceding
Eligibility Determination Period (each, an “Eligible Participant
Group”) shall have the right to appoint or retain, as applicable, a
member on the Risk Committee until the next Risk Committee
Reconstitution Date;
(C)
each Participant Group that has an incumbent member on the Risk
Committee but is not entitled to retain such member as provided
above shall cause its Risk Committee member to resign or
otherwise remove such member from the Risk Committee effective
as of the applicable Risk Committee Reconstitution Date; and
(D)
each Participant Group that has the right to appoint a member to
the Risk Committee as provided above and that does not have an
incumbent member on the Risk Committee shall notify the Board in
writing on or prior to the applicable Risk Committee Reconstitution
Date of the individual appointed by such Participant Group to the
Risk Committee; provided, however, that the failure to provide such
notice shall not result in the loss of the right of such Participant
Group to appoint a member to the Risk Committee.
(E)
“Participant Activity” means, for a specified Eligibility
Determination Period and with respect to a particular Participant
Group, the aggregate volume of Trades during such time submitted
to, and accepted for clearing by, ICE Clear Credit by members of
such Participant Group, which such volume shall be measured in
terms of aggregate notional amount of Trades so submitted and
accepted. In the event that a Combination of Participants occurs
prior to the applicable Risk Committee Reconstitution Date, all
Participant Activity of such Participants (and their Affiliates) shall be
aggregated together for purposes of determining the Participant
Activity of the resulting Participant Group for the corresponding
Eligibility Determination Period.
(F)
“Combination” means any event in which a Participant (or its
Affiliate) obtains Control of another Participant that was previously
not an Affiliate of such Participant (or any Person that Controls
such other Participant) or a Participant (or any Person that Controls
such Participant) is merged with another Participant that was
previously not an Affiliate of such Participant (or any Person that
Controls such other Participant).
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(vii)
Intentionally omitted.
(viii)
Intentionally omitted.
(ix)
Notwithstanding anything to the contrary herein, if at any time on or after
the first Risk Committee Reconstitution Date, there is a Combination
involving Participants where more than one of the relevant Participant
Groups had the right to appoint a member of the Risk Committee, then, as
of the date of consummation of such Combination, (A) such Participant
Groups shall, collectively, have the right to appoint only one member of
the Risk Committee and the Participant Group resulting from such
Combination shall take all actions necessary to remove all but one of their
previously appointed members effective as of the date of consummation of
the Combination and (B) the vacanc(ies) of the Risk Committee will be
filled by Participant Group(s) that had the highest Participant Activit(ies)
(over the immediately preceding Eligibility Determination Period) among
those Participants that, as of the date of consummation of such
Combination, did not have the right to appoint a member to the Risk
Committee (in order of the level of such Participant Activity, from highest
to lowest) effective as of the date of consummation of such Combination.
(x)
Notwithstanding anything to the contrary herein, if at any time all
Participants in a Participant Group with the right to appoint a member of
the Risk Committee are in Default or have had their status as Participant
terminated as a result of being a Retiring Participant, (A) such Participant
Group shall immediately lose the right to appoint a member to the Risk
Committee and (B) at the date of such Default or termination, the
Participant Group that had the highest Participant Activity (over the
immediately preceding Eligibility Determination Period) among those
Participants that, as of the date of such Default or termination, did not
have the right to appoint a member to the Risk Committee, shall have the
right to appoint a member to the Risk Committee effective as of the date of
such Default or termination.
(xi)
A Participant Group may appoint an individual to be a member of the Risk
Committee only if such individual is an employee of one of the Participants
in such Participant Group or an Affiliate thereof. Any member of the Risk
Committee may be removed at any time, with or without cause, by the
Participant Group that appointed such member pursuant to this Rule 503.
In the event a vacancy occurs on the Risk Committee as a result of the
retirement, removal, resignation or death of a member thereof, such
vacancy shall be filled by an individual designated by the relevant
Participant Group.
(xii)
Within five ICE Business Days of the end of each Eligibility Determination
Period, ICE Clear Credit shall, based on its books and records, deliver to
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each Participant Group a good faith determination of the identity of (A) the
Top Six Incumbent Participant Groups and (B) the Eligible Participant
Groups, and shall inform each of the Top Six Incumbent Participant
Groups and the Eligible Participant Groups of its right to appoint a
member to the Risk Committee as of the next Risk Committee
Reconstitution Date pursuant to this Rule; provided, however, that ICE
Clear Credit and its Affiliates, Board and officers shall have no liability with
respect to the delivery of such good faith determination. For the sake of
clarity, such good faith determination shall identify only the Participant
Groups mentioned above, and shall not set forth the Participant Activity
levels of such Participant Groups. In the event any Participant Group
disputes in good faith ICE Clear Credit’s good faith determination of the
Top Six Incumbent Participant Groups or the Eligible Participant Groups,
the disputing Participant Group and the Risk Committee shall submit such
dispute for resolution to PricewaterhouseCoopers LLP (or, if such firm
shall decline or is unable to act or is not, at the time of such submission,
independent of ICE Clear Credit, the disputing Participant Group or any
member of the Risk Committee, to another independent accounting firm of
international reputation mutually acceptable to the disputing Participant
Group and the Risk Committee) (such firm, the “Independent
Accounting Firm”), which shall, within 30 ICE Business Days after such
submission, determine and report to ICE Clear Credit, the disputing
Participant Group and the Risk Committee, and such report shall be final,
conclusive and binding on the disputing Participant Group, the Risk
Committee and ICE Clear Credit. The disputing Participant Group shall be
solely responsible for the fees and disbursements of the Independent
Accounting Firm. ICE Clear Credit and its Affiliates, Board and officers
shall have no liability in connection with the determination of the
Independent Accounting Firm.
(xiii)
If, by written agreement of the Risk Committee and the Board, ICE Clear
Credit is determined to have established multiple risk pools (each, a “Risk
Pool”), ICE Clear Credit will create a new and separate risk committee for
each such Risk Pool. In such event, (A) each such new risk committee will
have, with respect to its Risk Pool, the same rights, responsibilities and
operational procedures as the Risk Committee has under this Chapter,
and (B) to the extent practicable, the composition of such other risk
committee will be determined on the same basis as the Risk Committee is
determined hereunder (taking into account, instead, the applicable volume
or usage metric with respect to such Risk Pool as determined by the Risk
Committee), with the rules for such composition being determined by the
Board, in consultation with the Risk Committee.
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(xiv)
No member of the Risk Committee may be subject to statutory
disqualification under CEA Section 8a(2) or Section 3(a)(39) of the
Securities Exchange Act, or other applicable CFTC or SEC regulations.
(b)
Each Participant whose Participant Group appoints a member of the Risk
Committee shall, prior to participation in the Risk Committee, execute a
confidentiality agreement substantially in the form of the agreement attached as
Schedule 503 to these Rules and cause its Risk Committee member to execute
an acknowledgement of his or her confidentiality obligations in a form reasonably
prescribed by ICE Clear Credit and each such Participant and Risk Committee
member shall comply with the confidentiality obligations thereunder.
504.
Change of Control of ICE Clear Credit.
No change of control or sale (whether by merger, consolidation, stock sale, membership
interest sale or sale, license or other disposition of all or substantially all of the assets or
otherwise) of Intercontinental Exchange, Inc., a Delaware corporation, ICE Clear Credit
or the ICE Parent, in each case either directly or indirectly, will affect or alter in any
manner the responsibilities, rights or operations of the Risk Committee or the manner in
which the Risk Committee is constituted as set forth in the Rules (the “Risk Committee
Provisions”), and the Risk Committee Provisions shall survive any such change in
control or sale. The foregoing shall apply, mutatis mutandis, to any subsequent change
of control or sale of the acquiring or surviving Person resulting from any such previous
change of control or sale.
505.
Actions by the Risk Committee.
(a)
Except as provided in Rule 508, all decisions and recommendations made by the
Risk Committee shall be made at a meeting by majority vote of members. When
providing to ICE Clear Credit or the Board a decision or recommendation made
by the Risk Committee, the Risk Committee shall identify each member that
participated and how such member voted.
(b)
A majority of the Risk Committee, which must include at least half of the
Participant Appointees, shall constitute a quorum at a meeting of the Risk
Committee. In the event that a member of the Risk Committee is unable to attend
or participate in any meeting of the Risk Committee, the Participant that
designated such member of the Risk Committee may appoint an alternate to
attend such meetings and to participate in the deliberations of such meetings.
Such alternate will be permitted to vote on behalf of the absent member of the
Risk Committee and will be considered an attendee of any meetings for the
purposes of constituting a quorum.
(c)
The Risk Committee will be chaired by the Independent ICE Manager.
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(d)
Any action required or permitted to be taken by the Risk Committee, either at a
meeting or otherwise, may be taken without a meeting if the members of the Risk
Committee, by unanimous action, consent thereto in writing and the writing or
writings are filed with the minutes of proceedings of the Risk Committee. Written
notice of the action to be taken by written consent shall be given by any member
of the Risk Committee who joined in such consent (as determined by the
members of the Risk Committee who joined in such consent) to all other
members of the Risk Committee and the Board within five ICE Business Days
following the taking of any such action.
506.
Fiduciary Duties; Limitation of Liability of the Risk Committee.
No member of the Risk Committee and no member of a Participant Group that appoints
such a member to the Risk Committee (each, a “Protected Person”) shall, to the fullest
extent permitted by applicable law, have any fiduciary duties otherwise existing at law or
equity to ICE Clear Credit, the ICE Parent, any directors, managers or officers of either,
the Participants or any other Person by reason of such service on the Risk Committee
or the appointment of a member to the Risk Committee. Notwithstanding anything to the
contrary in the Rules, to the extent that, at law or in equity, a Protected Person has
duties (including fiduciary duties) and liabilities relating thereto to ICE Clear Credit, the
ICE Parent, any directors, managers or officers of either, the Participants or any other
Person, such Protected Person acting under the Rules shall not be liable to ICE Clear
Credit, the ICE Parent, any directors, managers or officers of either, the Participants or
any other Person for breach of fiduciary duty for its good faith reliance on the provisions
of the Rules. The Rules, to the extent that they restrict the duties (including fiduciary
duties) and liability of a Protected Person otherwise existing at law or in equity, are
agreed by ICE Clear Credit and the ICE Parent to replace such other duties and
liabilities of such Protected Person.
507.
Meetings of the Risk Committee.
(a)
The Board or any two members of the Risk Committee may call for a meeting of
the Risk Committee. The Risk Committee shall meet no less frequently than
quarterly. Meetings of the Risk Committee shall be at such place and time as
shall be determined by the party or parties that called the meeting. Not fewer
than five ICE Business Days before each such meeting, the party or parties that
called the meeting shall provide to each member of the Risk Committee (i) notice
of such meeting, (ii) an agenda specifying in reasonable detail the matters to be
discussed at such meeting and (iii) proposals or other written materials providing
background in reasonable detail regarding the agenda items. Any member of the
Risk Committee that wishes to have any additional matter discussed at any such
meeting shall give to the party or parties that called the meeting and each other
member of the Risk Committee notice of, and reasonable detail regarding, each
matter it so wishes to discuss not fewer than two ICE Business Days prior to any
such meeting. Emergency meetings of the Risk Committee may be called by any
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one or more members of the Risk Committee upon not less than one ICE
Business Day’s telephonic or electronic notice by such member(s) of the Risk
Committee to all other members of the Risk Committee specifying in reasonable
detail the nature of such emergency, the business to be transacted at such
meeting and the location of such emergency meeting (in the case of telephonic
notice, to be confirmed by written facsimile or email notice) by any member of the
Risk Committee. Emergency meetings of the Risk Committee may be held at the
offices of ICE Clear Credit or such other place as shall be determined by the
Independent ICE Manager, as the chair. In the event a quorum of the Risk
Committee (as provided in Rule 505) for any meeting other than an emergency
meeting is not present, such meeting shall be adjourned and the party or parties
that called the meeting shall provide no less than two ICE Business Days’
second telephonic or electronic notice to the members of the Risk Committee of
the reconvening of such adjourned meeting (in the case of telephonic notice, to
be confirmed by written facsimile or email notice). In the event a quorum of the
Risk Committee (as provided in Rule 505) for an emergency meeting is not
present, such meeting shall be adjourned and the party or parties that called the
meeting shall provide no less than twelve hours’ second telephonic or electronic
notice to the members of the Risk Committee of the reconvening of such
adjourned emergency meeting (to be confirmed by written facsimile or email
notice). In the event a quorum was not present at the adjourned meeting and is
not present for the reconvening of such adjourned meeting, and a particular
member of the Risk Committee and/or its alternate was not present at the
adjourned meeting and that particular member and/or its alternate is not present
for the reconvening of such adjourned meeting, such reconvening of the
adjourned meeting of the Risk Committee shall not require the presence of such
absent member or its alternate for a quorum. For purposes of the required vote
for any action at the reconvening of the adjourned meeting, the size of the Risk
Committee shall be deemed to have been reduced by the number of such
member(s) or alternate(s) of the Risk Committee who was/were not present for
either the adjourned meeting or the reconvening of such adjourned meeting.
(b)
Members of the Risk Committee may participate in a meeting of the Risk
Committee by means of a conference telephone or similar communications
equipment through which all persons participating in the meeting can hear each
other, and such participation in a meeting shall constitute presence in person at
such meeting, except where a member of the Risk Committee participates in the
meeting for the express purpose of objecting, at the beginning of such meeting,
to any business on the ground that such meeting was called or convened in
violation of these Rules or any applicable law. ICE Clear Credit shall make
participation by means of a conference telephone or similar communications
equipment available to all members of the Risk Committee at all meetings of the
Risk Committee; provided that all meetings must be held in the United States.
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(c)
Any member of the Risk Committee that is entitled to notice of a meeting of the
Risk Committee may waive such notice in writing, whether before or after the
time of such meeting. Attendance by a member of the Risk Committee at a
meeting thereof shall constitute a waiver of notice of such meeting by such
member, except when such member attends such meeting for the express
purpose of objecting, at the beginning of such meeting, to the transaction of any
business at such meeting because such meeting is called or convened in
violation of the Rules or any applicable law.
(d)
The decisions, recommendations and resolutions of the Risk Committee shall be
reported in minutes, which shall state the date, time and place of the meeting (or
the date of the written consent in lieu of meeting), the members of the Risk
Committee present at the meeting, the resolutions put to a vote (or the subject of
a written consent) and the results of such voting (or written consent). The
minutes shall be entered in a minute book kept at the principal office of ICE Clear
Credit and a copy of the minutes shall be provided to each member of the Risk
Committee and the Board.
508.
Risk Committee Board Appointees.
(a)
The Risk Committee shall have the authority to designate to ICE Parent in writing
four members for election to the Board (the “Risk Committee Board
Appointees”), two of whom must satisfy the Independence Requirements (the
“Independent Risk Committee Appointees”). The Risk Committee shall seek to
ensure that the two Risk Committee Board Appointees that do not satisfy the
Independence Requirements are senior executives, preferably employed by the
ultimate Parent (as defined in Rule 201) of a Participant, that have broad
experience in corporate governance, management oversight and financial
markets (including with respect to matters other than credit derivatives).
(b)
The Risk Committee Board Appointees shall be selected by majority vote of the
Participant Appointees from a slate of individuals nominated by one or more
Participant Appointees. Risk Committee Board Appointees shall serve in such
capacity for the same term as the other members of the Board. The Risk
Committee may instruct ICE Parent in writing to remove a Risk Committee Board
Appointee from the Board at any time and for any reason by a majority vote of
the Participant Appointees. The Risk Committee shall instruct ICE Parent in
writing to remove an Independent Risk Committee Appointee from the Board
promptly following the date that the Risk Committee becomes aware that such
appointee ceases to satisfy the Independence Requirements during the
appointee’s membership on the Board. The Risk Committee shall instruct ICE
Parent in writing to remove a Risk Committee Board Appointee who is an
employee of a Participant or Affiliate of a Participant promptly following the date
that the Risk Committee becomes aware that such Participant is in Default or
becomes a Retiring Participant. Upon any vacancy in the Risk Committee Board
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Appointees due to removal pursuant to this subparagraph or the resignation,
death or incapacity of a Risk Committee Board Appointee, the Risk Committee
shall convene as soon as reasonably practicable to instruct ICE Parent in writing
to fill such vacancy in accordance with this Rule.
(c)
The Risk Committee shall be entitled to consult with ICE Parent prior to ICE
Parent appointing any member of the Board (other than a Risk Committee Board
Appointee) who was not a member of the Board on the date on which ICE Clear
Credit (or its predecessor) first accepted Contracts for clearing, with respect to
the skills and experience of such proposed member.
509.
The Risk Management Subcommittee.
ICE Clear Credit shall establish a subcommittee of the Risk Committee (the “Risk
Management Subcommittee”) composed of members as provided in Rule 511.
Notwithstanding anything to the contrary in these Rules, the Board shall not have any
obligation to accept any proposal made by, or take any action proposed by, the Risk
Management Subcommittee, and any deliberation and/or decision by the Board with
respect to any such proposal shall be made at the sole discretion of the Board, with no
obligation whatsoever to the Risk Management Subcommittee in respect of such
deliberation or decision, subject to any reporting requirements to the CFTC under
applicable CFTC rules or to the SEC under applicable SEC rules.
510.
Subcommittee Specified Actions.
ICE Clear Credit shall not take nor permit to be taken any of the following actions
without prior consultation with the Risk Management Subcommittee (“Subcommittee
Specified Actions”):
(a)
Determine products eligible for clearing;
(b)
Determine the standards and requirements for initial and continuing Participant
eligibility;
(c)
Approve or deny (or review approvals or denials of) Participant applications
described in Rule 202 (or any successor Rule thereto) or the other ICE
Provisions;
(d)
Modify this Chapter of the Rules or Modify any of the responsibilities, rights or
operations of the Risk Management Subcommittee or the manner in which the
Risk Management Subcommittee is constituted as set forth in the Rules.
511.
Composition of the Risk Management Subcommittee; Confidentiality.
(a)
The composition of the Risk Management Subcommittee shall be as follows:
(i)
The Risk Management Subcommittee shall consist of five members.
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(b)
(ii)
Each member of the Risk Management Subcommittee shall have risk
management experience and expertise and shall be subject to the
approval of the Board, such approval not to be unreasonably withheld,
conditioned or delayed.
(iii)
Two of the members of the Risk Management Subcommittee shall be
members of the Board that meet the Independence Requirements and
shall be appointed by the Board (“Independent ICE Subcommittee
Managers”). The Board must make such finding upon the appointment of
the member and as often as necessary in light of all circumstances
relevant to such member, but in no case less than annually.
(iv)
One member of the Risk Management Subcommittee shall be a NonParticipant Party. Such member will be nominated by the buy-side
Advisory Committee of ICE Clear Credit.
(v)
Two of the members of the Risk Management Subcommittee shall be
composed of representatives of Participants who are members of the Risk
Committee. Such members shall be nominated by the Risk Committee.
(vi)
No member of the Risk Management Subcommittee may be subject to
statutory disqualification under CEA Section 8a(2) or Section 3(a)(39) of
the Securities Exchange Act, or other applicable CFTC or SEC
regulations.
Each member of the Risk Management Subcommittee shall, prior to participation
in the Risk Management Subcommittee, execute a confidentiality agreement
substantially in the form of the agreement attached as Schedule 511 to these
Rules.
512. Risk Management Subcommittee Actions; Fiduciary Duties; Limitation of
Liability; Meetings.
Rules 504 through 507 hereof shall apply to the Risk Management Subcommittee as
though references to the “Risk Committee” are references to the “Risk Management
Subcommittee” and references to the “Independent ICE Manager” are references to
“Independent ICE Subcommittee Managers”, with the following limited exceptions: that
for purposes of Rule 505(b), a majority of the Risk Management Subcommittee will be a
quorum and that for purposes of Rule 507(a), the Risk Management Subcommittee
shall meet when deemed necessary or desirable by the Risk Management
Subcommittee or its chairperson.
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6.
MISCELLANEOUS
601.
Emergencies.
(a)
The Board, upon the affirmative vote of the Managers voting at a meeting
where a quorum is present, may adopt a resolution in response to an
Emergency (as “Emergency Resolution”) which shall supersede and supplant
all contrary or inconsistent resolutions or Rules, except for this Rule and the
provisions of Chapter 5. Unless multiple conflicts of interest would make it
impracticable to assemble a quorum promptly, a Manager who has a conflict of
interest with respect to the outcome of such a vote (as determined by ICE
Clear Credit) shall abstain from deliberating and voting on the matter in
question. In the event that ICE Clear Credit is unable to convene a meeting of
the Board reasonably promptly, an Eligible Officer may take action pursuant to
this Rule (an “Officer Emergency Action”), provided that ICE Clear Credit
shall convene a meeting of the Board as soon as practicable thereafter to ratify
or rescind such Officer Emergency Action. ICE Clear Credit shall notify the
CFTC and SEC of any action taken by Emergency Resolution or Officer
Emergency Action.
(b)
Notwithstanding paragraph (a) of this Rule, in the event an Emergency
Resolution or an Officer Emergency Action constitutes a Specified Action (as
defined in Rule 502) or Subcommittee Specified Action (as defined in Rule
510), there shall be no obligation to consult with the Risk Committee or the
Risk Management Subcommittee to the extent that the Board or the Eligible
Officer, as applicable, determines in good faith that the delay caused by
consulting with the Risk Committee or the Risk Management Subcommittee
would create significant risks to the clearing system operated by ICE Clear
Credit pursuant to these Rules and the Participants generally; provided,
however, that ICE Clear Credit shall notify the Risk Committee or the Risk
Management Subcommittee, as applicable, of such action and the Board shall
consult with the Risk Committee or the Risk Management Subcommittee, as
applicable, as promptly as practicable, and in any event within three ICE
Business Days, after taking such Specified Action to discuss the Specified
Action taken and the Board shall take into account such consultation in
determining whether to modify or rescind such Specified Action.
(c)
An Emergency Resolution or Officer Emergency Action shall expire upon the
happening of either of the following events: (i) the Board shall have voted to
rescind the Emergency Resolution or Officer Emergency Action; or (ii) 90 days
(in the case of an Emergency Resolution) or three ICE Business Days (in the
case of an Officer Emergency Action) shall have elapsed since the emergency
resolution was adopted.
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(d)
All Trades, accounts and Open Positions with ICE Clear Credit, and all
Participants shall be subject to the exercise of these Emergency powers by the
Board or an Eligible Officer.
(e)
As used herein, the term “Emergency” shall include, without limitation, (i) the
occurrence of an event or circumstance in which, as determined by the Board
or the Chief Executive Officer or President, market volatility is likely to have an
effect on the ability of ICE Clear Credit to arrange for a fair and orderly
settlement cycle, and that absent action, the functioning of the clearing system
operated by ICE Clear Credit pursuant to these Rules is likely to be impaired,
(ii) trading generally on the New York Stock Exchange, the American Stock
Exchange, the NASDAQ Global Market or the NASDAQ Global Select Market,
the Chicago Mercantile Exchange, the Chicago Board of Trade or any other
exchange or market relevant to the pricing or trading of Contracts or similar
agreements shall have been suspended or limited or minimum prices shall
have been established on any such exchanges or markets, (iii) a banking
moratorium shall have been declared by the United States Federal, New York
State or any European Union member authorities or (iv) there shall have
occurred any outbreak or escalation of hostilities, declaration of a national
emergency or war, or other calamity or crisis, national or international, in the
case of each of the foregoing clauses, the effect of which on financial markets
is such as to make it, in the sole judgment of the Board or an Eligible Officer,
as applicable, impractical for ICE Clear Credit to continue operating in
accordance with these Rules.
(f)
Except as otherwise stated in an Emergency Resolution adopted hereunder or
an Officer Emergency Action, the powers exercised by ICE Clear Credit under
this Rule shall be in addition to and not in derogation of authority granted
elsewhere in these Rules to a committee or officer of ICE Clear Credit to take
action as specified therein.
602.
Physical Emergencies.
In the event the physical functions of ICE Clear Credit are, or are threatened to be,
severely and adversely affected by a physical emergency such as, but not limited to, fire
or other casualty, bomb threats, substantial inclement weather, power failures,
communications breakdowns or transportation breakdowns, the Chairman, a Vice
Chairman or the Chief Executive Officer or President of ICE Clear Credit or, in their
absence, another officer of ICE Clear Credit, is authorized to take such action as he or
she shall deem necessary or appropriate to deal with such emergency.
603.
Force Majeure.
Notwithstanding any other provision of these Rules, ICE Clear Credit shall not be
obligated to perform its obligations under these Rules or any agreement with a
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Participant relating to Contracts, or to compensate any person for losses occasioned by
any delay or failure of performance, to the extent such delay or failure is the result of
acts of God, lightning, earthquake, fire, epidemic, landslide, drought, hurricane, tornado,
storm, explosion, flood, nuclear radiation, act of a public enemy or blockade,
insurrection, riot or civil disturbance, strike or labor disturbance, or any other cause
beyond ICE Clear Credit’s reasonable control (whether or not similar to any of the
foregoing).
If ICE Clear Credit shall, as a result of any of the above-described events, fail to perform
any of its obligations, such failure shall be excused for a period equal to the period of
delay caused by such event. In such an event, ICE Clear Credit shall give written notice
thereof to the affected Market or such Participant, as the case may be, as soon as it is
reasonably practicable and attempt diligently to remove such condition.
604.
Suspension of Rules.
Except as otherwise provided in Chapter 5 of these Rules, the time frames fixed by
these Rules, interpretations or policies of ICE Clear Credit for the doing of any act or
acts may be extended, or the doing of any act or acts required by these Rules or any
interpretations or policies of ICE Clear Credit may be waived, and any provision of these
Rules or any interpretations or policies of ICE Clear Credit may be suspended by the
Board or by any Eligible Officer whenever, in the judgment of the Board or such Eligible
Officer, as applicable, such extension, waiver or suspension is necessary or expedient;
provided that ICE Clear Credit may not take any action pursuant to this Rule that would,
as determined by the Board or such Eligible Officer, as applicable, have a material
adverse effect on the majority of Participants and; provided, further, that in the event of
an Emergency, ICE Clear Credit may not take any action under this Rule and any such
extension, waiver or suspension may occur only in accordance with the requirements of
Rule 601. Any such extension, waiver or suspension under this Rule may continue in
effect after the event or events giving rise thereto but shall not continue in effect for
more than three ICE Business Days after the date thereof unless it shall be approved by
the Board within such period.
605.
[Intentionally Omitted].
606.
Fees; Fines and Charges.
(a)
Clearing fees and other charges for ICE Clear Credit services shall be as fixed
from time to time by ICE Clear Credit with the approval of the Board.
(b)
ICE Clear Credit shall have the power to assess fines and charges against
Participants for the failure to comply with these Rules or the ICE Clear Credit
Procedures; provided that such fines or charges may be assessed only in
accordance with the process described in Chapter 7 of these Rules.
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607.
(a)
(b)
608.
Trading by Employees Prohibited.
No employee of ICE Clear Credit shall:
(i)
trade or participate directly or indirectly in any transaction in any
Contract, except to the extent necessary to carry out the provisions of
Rule 20-605 or any other Rule that specifies the rights of ICE Clear
Credit upon the Default of a Participant, or as otherwise permitted
pursuant to an exemption granted in accordance with this Rule; or
(ii)
disclose any material, non-public information obtained as a result of
such Person’s employment with ICE Clear Credit where the employee
has or should have a reasonable expectation that the information
disclosed may assist another Person in trading any Contract or any
similar transaction, underlying asset or any other interest in respect
thereof; provided that an employee is not prohibited from making
disclosures in the course of the employee’s duties, or to another selfregulatory organization, court of competent jurisdiction or
representative of any agency or department of the federal or state
government acting in his or her official capacity.
From time to time, ICE Clear Credit may adopt additional Rules which set forth
circumstances under which exemptions from the trading prohibition contained
in paragraph (a)(i) will be granted. The effectiveness of such rules and the
procedures for administration of such rules shall be governed by applicable law
and/or regulations.
Forms; Transmission of Data to ICE Clear Credit.
(a)
In connection with any transaction or matter handled through, with or by ICE
Clear Credit under or pursuant to the Rules, the form of any required list, notice
or other document shall be as from time to time prescribed by ICE Clear Credit,
and additions to, changes in and elimination of any such forms may be made
by ICE Clear Credit at any time in its discretion.
(b)
A Participant may execute any document to be delivered to ICE Clear Credit or
to any other Participant pursuant to these Rules by means of a mechanically or
electronically reproduced facsimile signature of a representative of the
Participant; provided that the Participant shall have complied with such
requirements as may be prescribed by ICE Clear Credit in connection with the
use of such facsimile signatures.
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609.
Just and Equitable Principles of Trade; Acts Detrimental to the Interest or
Welfare of ICE Clear Credit.
(a)
Subject to the requirements of Rule 615(b), ICE Clear Credit shall have the
power to discipline Participants, including by suspension or revocation of
clearing privileges, for engaging in conduct inconsistent with just and equitable
principles of trade or for any act or practice, or the omission thereof, that
violates ICE Clear Credit’s rules or procedures (together, “Prohibited
Conduct”).
(b)
ICE Clear Credit shall have the power to assess fines or charges against a
Participant for engaging in Prohibited Conduct; provided that such fines or
charges may be assessed only in accordance with the process outlined in
Chapter 7 of these Rules.
610.
Construction in Accordance with New York Law.
These Rules, and all rights and obligations hereunder (including the creation of security
interests in the Collateral and Margin), shall be construed in accordance with the
internal laws of the State of New York, without giving effect to the conflict of law
provisions thereof.
611.
Relation to Insolvency Laws.
(a)
ICE Clear Credit and each Participant intend that certain provisions of these
Rules be interpreted in relation to certain terms (identified by quotation marks)
that are used or defined in the “Clearing organization netting” provisions of the
Federal Deposit Insurance Corporation Improvement Act of 1991 (“FDICIA”), 12
U.S.C. § 4404, as amended, as follows:
(i)
ICE Clear Credit is a “clearing organization.”
(ii)
An obligation of a Participant to make a payment to ICE Clear Credit, or of
ICE Clear Credit to make a payment to a Participant, subject to a netting
agreement, is a “covered clearing obligation” and a “covered contractual
payment obligation.”
(iii)
An entitlement of a Participant to receive a payment from ICE Clear
Credit, or of ICE Clear Credit to receive a payment from a Participant,
subject to a netting contract, is a “covered contractual payment
entitlement.”
(iv)
ICE Clear Credit is a “member,” and each Participant is a “member.”
(v)
The amount by which the covered contractual payment entitlements of a
Participant or ICE Clear Credit exceed the covered contractual payment
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obligations of such Participant or ICE Clear Credit after netting under a
netting contract is its “net entitlement.”
(b)
(c)
(vi)
The amount by which the covered contractual payment obligations of a
Participant or ICE Clear Credit exceed the covered contractual payment
entitlements of such Participant or ICE Clear Credit after netting under a
netting contract is its “net obligation.”
(vii)
These Rules and any other agreement between ICE Clear Credit and a
Participant governing Contracts are a “netting contract” and include
“security agreements or arrangements or other credit enhancements
related to such netting contract.”
(viii)
The rights granted to ICE Clear Credit herein upon the Default of a
Participant are all rights that enable ICE Clear Credit to “terminate,
liquidate, accelerate and net” the related Open Positions.
ICE Clear Credit and each Participant intend that certain provisions of these
Rules be interpreted in relation to certain terms (identified by quotation marks)
that are used or defined in Section 11(e) of the Federal Deposit Insurance Act
(“FDIA”), 12 U.S.C. § 1821(e)(8), as amended, as follows:
(i)
Each Open Position is a “swap agreement.”
(ii)
These Rules and any other agreement between ICE Clear Credit and a
Participant governing Contracts constitute a “master agreement” and each
security interest granted and each transfer of title provided for herein
(including each Participant’s grant of a security interest in Margin and
Collateral) constitutes a “security agreement or arrangement or other
credit enhancement” in connection with or related to a “swap agreement.”
(iii)
The rights granted to ICE Clear Credit herein upon the Default of a
Participant are rights that enable ICE Clear Credit “to cause the
termination, liquidation, or acceleration” of the Defaulting Participant’s
Open Positions and “to offset or net out any termination value, payment
amount, or other transfer of” any Open Positions.
(iv)
Each Participant’s Transfer of Collateral to the General Guaranty Fund
constitutes a “security arrangement or other credit enhancement” related
to a “swap agreement” and therefore is itself a “swap agreement.”
ICE Clear Credit and each Participant intend that certain provisions of these
Rules be interpreted in relation to certain terms (identified by quotation marks)
that are used or defined in Section 561 and Section 761 of Title 11 of the United
States Code, as amended (the “Bankruptcy Code”), as follows:
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(d)
(i)
Each Open Position is a “commodity contract”.
(ii)
These Rules and any other agreement between ICE Clear Credit and a
Participant governing Contracts constitute a “master agreement” and each
security interest granted and each transfer of title provided for herein
(including each Participant’s grant of a security interest in Margin and
Collateral) constitutes a “security agreement or arrangement or other
credit enhancement” related to a “commodity contract.”
(iii)
The rights granted to ICE Clear Credit herein upon the Default of a
Participant are rights that enable ICE Clear Credit “to cause the
termination, liquidation, or acceleration” of the Defaulting Participant’s
Open Positions and “to offset or net out any termination value, payment
amount, or other transfer obligation arising under or in connection with”
any Open Positions.
(iv)
Each Participant’s Transfer of Collateral to the General Guaranty Fund
constitutes a “security arrangement or other credit enhancement” related
to a “commodity contract” and therefore is itself a “commodity contract.”
ICE Clear Credit and each Participant intend that certain provisions of these
Rules be interpreted in relation to certain terms (identified by quotation marks)
that are used or defined in Section 561 and Section 741 of Title 11 of the
Bankruptcy Code, as follows:
(i)
Each Open Position is a “securities contract”.
(ii)
These Rules and any other agreement between ICE Clear Credit and a
Participant governing Contracts constitute a “master agreement” and each
security interest granted and each transfer of title provided for herein
(including each Participant’s grant of a security interest in Margin and
Collateral) constitutes a “security agreement or arrangement or other
credit enhancement” related to a “securities contract.”
(iii)
The rights granted to ICE Clear Credit herein upon the Default of a
Participant are rights that enable ICE Clear Credit “to cause the
termination, liquidation, or acceleration” of the Defaulting Participant’s
Open Positions and “to offset or net out any termination value, payment
amount, or other transfer obligation arising under or in connection with”
any Open Positions.
(iv)
Each Participant’s Transfer of Collateral to the General Guaranty Fund
constitutes a “security arrangement or other credit enhancement” related
to a “securities contract” and therefore is itself a “securities contract.”
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(e)
612.
ICE Clear Credit and each Participant intend that certain provisions of these
Rules be interpreted in relation to certain terms (identified by quotation marks)
that are used or defined in Section 210(c) of Title II of the Dodd-Frank Wall Street
Reform and Consumer Protection Act, as amended, as follows:
(i)
Each Open Position is a “swap agreement.”
(ii)
These Rules and any other agreement between ICE Clear Credit and a
Participant governing Contracts constitute a “master agreement” and each
security interest granted and each transfer of title provided for herein
(including each Participant’s grant of a security interest in Margin and
Collateral) constitutes a “security agreement or arrangement or other
credit enhancement” related to a “swap agreement.”
(iii)
The rights granted to ICE Clear Credit herein upon the Default of a
Participant are rights that enable ICE Clear Credit “to cause the
termination, liquidation, or acceleration” of the Defaulting Participant’s
Open Positions and “to offset or net out any termination value, payment
amount, or other transfer obligation arising under or in connection with”
any Open Positions.
(iv)
Each Participant’s Transfer of Collateral to the General Guaranty Fund
constitutes a “security arrangement or other credit enhancement” related
to a “swap agreement” and therefore is itself a “swap agreement.”
Waiver of Setoff.
Notwithstanding any existing or future agreement, except as expressly provided in these
Rules or a Contract, each Participant irrevocably waives any and all rights it may have
to set off, net, recoup or otherwise withhold or suspend or condition payment or
performance of any obligation between ICE Clear Credit and such Participant under
these Rules or any Contract against any obligations between ICE Clear Credit and such
Participant or any branch or Affiliate of ICE Clear Credit or of such Participant, under
any other agreements or otherwise.
613.
Taxes.
(a)
All payments under these Rules or any Contract will be made without any
deduction or withholding for or on account of any Tax unless such deduction or
withholding is required by any applicable law, as modified by the practice of any
relevant governmental revenue authority, then in effect. If ICE Clear Credit or a
Participant is so required to deduct or withhold, then ICE Clear Credit or the
Participant (“X”) will: —
(i)
promptly notify the recipient (“Y”) of such requirement;
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(ii)
pay to the relevant authorities the full amount required to be deducted or
withheld (in the case of a Participant as X, including the full amount
required to be deducted or withheld from any amount paid by the
Participant to ICE Clear Credit under Rule 613(b), 613(c) or 613(d))
promptly upon the earlier of determining that such deduction or
withholding is required or receiving notice that such amount has been
assessed against Y;
(iii)
promptly forward to Y an official receipt (or a certified copy), or other
documentation reasonably acceptable to Y, evidencing such payment to
such authorities.
For the purpose of this Rule 613, “Tax” shall mean any present or future tax,
levy, impost, duty, charge, assessment, or fee of any nature (including interest,
penalties, and additions thereto) that is imposed by any government or other
taxing authority.
(b)
In the event that any payment made by a Participant to ICE Clear Credit under
these Rules or any Contract is subject to deduction or withholding (either at the
time of such payment or in the future) for or on account of any Tax (other than a
Tax that would not have been imposed in respect of such payment but for a
present or former connection between the jurisdiction of the government or
taxation authority imposing such Tax and ICE Clear Credit), then the Participant
shall pay to ICE Clear Credit an amount (such amount, together with any
additional amount paid pursuant to Rule 613(g), the “Additional Amount”), in
addition to the payment to which ICE Clear Credit is otherwise entitled under
these Rules or any Contract, necessary to ensure that the net amount actually
received by ICE Clear Credit (free and clear of any such deduction or withholding
for or on account of any such Tax, whether assessed against the Participant or
ICE Clear Credit), will equal the full amount ICE Clear Credit would have
received in the absence of any such deduction or withholding.
However, a Participant will not be required to pay any Additional Amount to ICE
Clear Credit under this Rule 613(b) to the extent that it would not be required to
be paid but for (i) the failure by ICE Clear Credit to provide to the Participant such
forms and documents as required under Rule 613(e), provided that this clause (i)
shall apply only if (A) the relevant Participant has notified ICE Clear Credit in
writing of such failure and (B) ICE Clear Credit has failed to provide such forms
or documents within five ICE Business Days after the receipt of such notice; or
(ii) the failure of a representation made by ICE Clear Credit pursuant to Section
29.3.2 of the Participant Agreement between ICE Clear Credit and the Participant
to be accurate and true (unless the failure under this clause (ii) would not have
occurred but for (A) any action taken by a taxing authority, or brought in a court
of competent jurisdiction (regardless of whether such action is taken or brought
with respect to a party to the relevant Participant Agreement) or (B) a Change in
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Tax Law, that in each case occurs after ICE Clear Credit and the Participant
enter into the relevant Participant Agreement (or, if applicable, the date that ICE
Clear Credit and the Participant amend such Participant Agreement to account
for such Change in Tax Law)).
In the event that the failure under clause (ii) of the preceding paragraph would
not have occurred but for the reasons described under subclause (A) or (B)
thereof, ICE Clear Credit shall use commercially reasonable efforts to provide to
the Participant a new representation (to the extent that it is appropriate) for the
purpose of Section 29.3.2 of the relevant Participant Agreement between ICE
Clear Credit and the Participant, promptly after the learning of such failure (so
long as the provision of such representation would not, in ICE Clear Credit’s
judgment, materially prejudice the legal or commercial position of ICE Clear
Credit).
For the purpose of this Rule 613, “Change in Tax Law” means the enactment,
promulgation, execution or ratification of, or any change in or amendment to, any
law (or in the application or official interpretation of any law).
(c)
If (i) a Participant is required by any applicable law, as modified by the practice of
any relevant governmental revenue authority, to make any deduction or
withholding from any payment made to ICE Clear Credit under these Rules or
any Contract for or on account of any Tax, in respect of which the Participant
would be required to pay an Additional Amount to ICE Clear Credit under Rule
613(b); (ii) the Participant does not so deduct or withhold; and (iii) a liability
resulting from such Tax is assessed directly against ICE Clear Credit, then,
except to the extent the Participant has satisfied or then satisfies the liability
resulting from such Tax, the Participant will promptly pay to ICE Clear Credit the
amount of such liability (including any related liability for interest, penalties and
costs).
(d)
If (i) ICE Clear Credit is required by any applicable law, as modified by the
practice of any relevant governmental revenue authority, to make any deduction
or withholding from any payment made to a Participant under these Rules or any
Contract for or on account of any Tax; (ii) ICE Clear Credit does not so deduct or
withhold; and (iii) a liability resulting from such Tax is assessed directly against
ICE Clear Credit, then, except to the extent the Participant has satisfied or then
satisfies the liability resulting from such Tax, the Participant will promptly pay to
ICE Clear Credit the amount of such liability (including any related liability for
interest, penalties and costs).
(e)
ICE Clear Credit shall provide to each Participant (i) the tax forms and
documents specified in Section 31 of the Participant Agreement between ICE
Clear Credit and the Participant and (ii) any other form or document reasonably
requested in writing by the Participant in order to allow the Participant to make a
payment under these Rules or any Contract without deduction or withholding for
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or on account of any Tax or with such deduction or withholding at a reduced rate
(so long as the completion, execution or submission of such form or document as
described in this clause (ii) would not, in ICE Clear Credit’s judgment, materially
prejudice the legal or commercial position of ICE Clear Credit).
(f)
Each Participant shall provide to ICE Clear Credit (i) the tax forms and
documents specified in Section 31 of the Participant Agreement between ICE
Clear Credit and the Participant and (ii) any other form or document reasonably
requested in writing by ICE Clear Credit in order to allow ICE Clear Credit to
make a payment under these Rules or any Contract without deduction or
withholding for or on account of any Tax or with such deduction or withholding at
a reduced rate (so long as the completion, execution or submission of such form
or document would not materially prejudice the legal or commercial position of
such Participant). For the avoidance of doubt, in the event that any payment
made by ICE Clear Credit to a Participant under these Rules or any Contract is
subject to deduction or withholding (either at the time of such payment or in the
future) for or on account of any Tax, ICE Clear Credit is not required to pay any
additional amount in respect of such deduction or withholding. ICE Clear Credit
will, at the Participant’s expense, use commercially reasonable efforts to
cooperate with a Participant to seek any credit or remission or other relief
available with respect to any such Tax so deducted or withheld (so long as such
cooperation would not, in ICE Clear Credit’s judgment, materially prejudice the
legal or commercial position of ICE Clear Credit).
(g)
Each Participant will pay any stamp, registration, documentation, excise, sales or
value added Tax or any other similar Tax levied or imposed upon it or in respect
of its execution or performance of any agreement, contract or transaction in
connection with these Rules and will indemnify ICE Clear Credit against any such
stamp, registration, documentation, excise, sales or value added Tax (to the
extent that ICE Clear Credit is not able, in ICE Clear Credit’s commercially
reasonable judgment, to reclaim or recover such value added Tax) or any other
similar Tax levied or imposed upon ICE Clear Credit or in respect of ICE Clear
Credit’s execution or performance of any agreement, contract or transaction in
connection with these Rules. Any payment required to be made by a Participant
to ICE Clear Credit under this Rule 613(g) shall include an additional amount
equal to any Tax levied or imposed on ICE Clear Credit as a result of the receipt
of any payment under this Rule 613(g) (including this sentence).
(h)
Each Participant shall promptly notify ICE Clear Credit in writing upon learning
that any payment made by ICE Clear Credit to the Participant or by the
Participant to ICE Clear Credit under these Rules or any Contract is subject to
any Tax, other than any Tax imposed or levied based on the net income of the
Participant or ICE Clear Credit, as applicable.
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(i)
Participants shall not have any termination or other special rights in respect of
Contracts or Open Positions as a result of the occurrence of adverse Tax
consequences, whether relating to a Change in Tax Law or otherwise, it being
understood that Participants may, in accordance with these Rules, submit for
clearing Trades with other Participants (including with any Affiliate that is a
Participant) that, if accepted, would offset its Open Positions. If so requested by a
Participant for the purpose of reducing adverse Tax consequences to such
Participant, ICE Clear Credit shall use reasonable efforts to expeditiously review
an application for status as a Participant submitted by an Affiliate of such
requesting Participant.
614.
Audit Rights.
The Participants, acting collectively and not individually, shall have the right, on 30 days’
prior written notice, to audit the books and records of ICE Clear Credit on an annual
basis; provided that the Participants bear their own legal and other expenses with
respect to such audits.
615.
Determinations by ICE Clear Credit.
(a)
Any determination or action that ICE Clear Credit is required or authorized to
make or take pursuant to, and any exercise of judgment or discretion under,
these Rules or the ICE Clear Credit Procedures shall be made or taken or
exercised (or not) in good faith and in the best interest of the clearing system
operated by ICE Clear Credit pursuant to these Rules and taking into account the
views of the Participants and the owners of ICE Clear Credit.
(b)
Any determination to suspend or revoke the clearing privileges of a Participant,
or to terminate its status as a Participant, granted to ICE Clear Credit pursuant to
these Rules or the ICE Clear Credit Procedures, including, without limitation, as
provided in Rules 203(a), 207(a) and 609(a), shall be made only with the consent
of the Board (in a vote excluding any member who is an employee of such
Participant or any Affiliate) after consultation with, and consideration of the views
expressed by, the staff of the regulators of ICE Clear Credit and shall not
become effective until the ICE Business Day following notice of such suspension,
revocation or termination to such Participant. (For the sake of clarity, the
determination that a Participant is in Default is distinct from the determination to
suspend or revoke the clearing privileges of a Participant, or to terminate its
status as a Participant and, accordingly, is not subject to any requirements under
these Rules applicable to suspension, revocation or termination.) Prior to such
effectiveness, the subject Participant shall, except where such suspension,
revocation or termination was recommended by a Hearing Panel or where such
termination was based on such Participant being in Default, have the right to
deliver notice to ICE Clear Credit contesting such suspension, revocation or
termination, in which case such suspension, revocation or termination shall not
become effective and the matter shall be deemed to have been referred to a
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Hearing Panel (as defined in Rule 707) by a Review Subcommittee pursuant to
Rule 703(e), whereupon the Hearing Panel shall adjudicate the matter and
impose sanctions as provided in Chapter 7 of these Rules (and, for this purpose,
the term “Violation” shall be deemed to include the basis for such suspension,
revocation or termination and the Hearing Panel may establish a condensed
schedule for its adjudication if it determines appropriate under the
circumstances). ICE Clear Credit shall provide notice to all Participants as much
in advance as reasonably practicable (but in any event at least two hours) prior to
any suspension or revocation of clearing privileges or termination of Participant
status of a Participant becoming effective, whether by the Board or a Hearing
Panel pursuant to Rule 710.
(c)
ICE Clear Credit shall provide notice of the imposition of any Trading Activity
Limitation or a limitation described in Rule 207(a)(i) on a Participant to the CFTC
and SEC before or, if not reasonably practicable to do so, as promptly as
reasonably practicable after such imposition.
616.
Contract Modification.
(a)
ICE Clear Credit may not Modify (as defined in Rule 502) the terms and
conditions of a Contract if such Modification would, in the determination of ICE
Clear Credit, (i) reasonably be expected to have a material effect on the Mark-toMarket Price (as defined in Rule 404) of such Contract or (ii) materially increase
the basis risk of such Contract relative to the over-the-counter agreement
equivalent to such Contract referred to in Rule 301 (collectively, a “Contract
Modification”) unless ICE Clear Credit provides all Participants at least ten ICE
Business Days’ notice prior to the effective date of such Contract Modification (a
“Contract Modification Effective Date”). For the sake of clarity, Modifications to
provisions of the Rules or the ICE Clear Credit Procedures relating to Margin, the
General Guaranty Fund, Default/Closing-out Process and/or Rules 601 through
604 (or any successor Rules) shall not constitute a Contract Modification and
Modifications to Rule 613 or Chapter 21 of these Rules, in each case that would
otherwise meet the standards in clauses (i) or (ii) above, shall constitute a
Contract Modification.
(b)
A Contract Modification shall not apply to Trades or Open Positions in the
relevant Contract that have a Novation Time (as defined in Rule 309) on a date
prior to the relevant Contract Modification Effective Date and such Trades or
Open Positions may not be offset against Trades or Open Positions in the
relevant Contract with a Novation Time on or after such Contract Modification
Effective Date.
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617.
Large Trader Reports.
Each Participant shall submit to ICE Credit Clear on a daily basis, and in such manner
as shall be prescribed by ICE Clear Credit from time to time, all large trader reports filed
with the CFTC by, or on behalf of, Participant pursuant to Part 17 of the CFTC Rules.
618.
Notice of Rule Changes.
In the event of any material modification of the Rules, ICE Clear Credit will notify
Participants thereof in advance of such proposed modification. This Rule 618 will be
without prejudice to Rules 502 and 510.
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7.
DISCIPLINARY RULES
701.
Jurisdiction.
(a)
ICE Clear Credit shall have the authority to initiate and conduct investigations
and to prosecute instances of Prohibited Conduct (as defined in Rule 609) and
violations of these Rules or the ICE Clear Credit Procedures (such violations,
together with instances of Prohibited Conduct, “Violations”) allegedly committed
by Participants and to impose sanctions for such Violations as provided in these
Rules.
(b)
Each Participant, upon becoming a Participant and thereafter upon any change
to the relevant office, shall file with ICE Clear Credit a written notice designating
an office within the County of New York for receiving service of documents. If a
Participant fails to designate such an office, mailing service to its address on file
with ICE Clear Credit shall be good service, and delivery thereof shall be deemed
to have occurred as of the date of such mailing.
702.
ICE Clear Credit Staff — Powers and Duties.
(a)
For purposes of this rule 702, ICE Clear Credit staff shall consist of the ICE Clear
Credit chief compliance officer (the “Chief Compliance Officer”), other ICE
Clear Credit employees, including officers, and such other individuals (who
possess the requisite independence) as ICE Clear Credit may hire on a contract
basis.
(b)
ICE Clear Credit staff shall conduct investigations of possible Violations, prepare
written reports respecting such investigations, furnish such reports to the Chief
Compliance Officer and Business Conduct Committee and conduct the
prosecution of such Violations; provided that instances of a Participant’s failure to
submit end of day prices in accordance with ICE Clear Credit Procedures
(“Missed Submissions”) are subject to the summary assessment process as
outlined in Section 702(e).
(c)
ICE Clear Credit staff shall provide the Participant that is the subject of any
investigation with a copy of the written report no less than five ICE Business
Days prior to distribution of the report to the applicable Review Subcommittee of
the Business Conduct Committee and shall provide an opportunity to submit
written comments regarding or evidence relevant to the report. Any written
comments received from the Participant shall either accompany distribution of
the report to the Review Subcommittee or shall be furnished to the Review
Subcommittee at or before the time of its meeting, depending on the date on
which the Participant’s comments are received by ICE Clear Credit staff.
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(d)
If, in any case, the Chief Executive Officer or President, the Chief Compliance
Officer or another ICE Clear Credit employee designated for this purpose by the
Board concludes that a Violation may have occurred, he or she may:
(i)
issue a warning letter to the Participant informing it that there may have
been a Violation and that such continued activity may result in disciplinary
sanctions; provided that such warning letter shall indicate that it is neither
the finding of a Violation nor a penalty and is subject to the review of the
Business Conduct Committee; or
(ii)
negotiate and enter into a written settlement agreement with the
Participant, whereby the Participant, with or without admitting guilt, may
agree to:
(1)
a cease and desist order or a reprimand; and/or
(2)
a fine of up to ten thousand dollars for each Violation alleged plus
the monetary value of any benefit received as a result of the
alleged Violation.
Any such written settlement shall be subject to the approval of a Review
Subcommittee of the Business Conduct Committee and shall become final
and effective pursuant to Rule 714(a).
(e)
In the event that ICE Clear Credit staff believes a Missed Submission has
occurred, it shall advise the Chief Compliance Officer and commence the following
summary assessment process, unless otherwise directed by the Chief Compliance
Officer:
(i)
At the end of each calendar month, the staff of ICE Clear Credit shall
gather relevant details concerning each Missed Submission that it
believes occurred during the past month, and prepare and transmit a
Notice of Violation letter addressed to the chief compliance officer for CDS
(and such other representatives of the Participant as it deems appropriate)
setting forth relevant details of such Violation;
(1)
Such Notices of Violation shall include information about the date,
type, quantity, and assessment amount for the Missed Submission
Violation(s) in accordance with the Schedule of Assessments for Missed
Price Submissions attached hereto.
(2) Participants are required to submit end of day prices for each Contract
in which they hold a cleared interest in accordance with the ICE Clear
Credit Procedures. Participants that hold a cleared interest in one or more
Contracts within a single name family are required to provide prices for all
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benchmark tenors within the family at each coupon cleared by ICE Clear
Credit. Each price not submitted as required is a Missed Submission.
(ii)
A Participant will have fifteen (15) days from the date of the Notice of
Violation to dispute it or seek to have it waived or rescinded, after which
time the Chief Compliance Officer will consider all relevant information and
may either request further details or make a final determination.
(1)
If the Participant fails to respond to a Notice of Violation within the
timeframe set out therein, the Missed Submission and the stated
assessment amount shall immediately be deemed finally determined,
without further notice.
(2)
A Participant is eligible for one waiver per calendar year for single
name Missed Submissions and one waiver per calendar year for index
Missed Submissions. Waivers requested and granted pursuant to this
paragraph (e)(ii)(2) are strictly limited to those Missed Submissions
caused by technical failures. Participant may request such waiver(s) to be
applied against all applicable Missed Submissions for a given instrument
class on a given day. The Participant must provide adequate written
explanation of the technical failure and plans for remedial actions. The
Chief Compliance Officer shall determine whether the requirements of this
paragraph (e)(ii)(2) are met and whether a waiver of the Violation and
assessment shall be granted. If granted, a waiver shall provide that no
assessment amount shall be due. For the avoidance of doubt, a
Participant is eligible for one waiver per calendar year for single name
Missed Submissions and one waiver per calendar year for index Missed
Submissions; a Participant will not be eligible for additional waivers under
this paragraph (e)(ii)(2) and no additional waiver requests by a Participant
for a given asset class will be considered by ICE Clear Credit under this
paragraph (e)(ii)(2). A waiver granted pursuant to this paragraph (e)(ii)(2)
shall not preclude a Participant from being eligible for a waiver under
paragraph (e)(ii)(3).
(3)
A Participant shall receive an unconditional waiver for Missed
Submission(s) that are due to extraordinary circumstances outside of the
Participant’s control. The Chief Compliance Officer shall determine
whether circumstances are extraordinary and outside of a Participant’s
control giving due weight to circumstances that involved an act of God or
market-wide disruption; provided that, for the avoidance of doubt,
technical failure, human error, and similar circumstances unique to the
relevant Participant are not considered circumstances outside of a
Participant’s control. For the avoidance of doubt, a waiver granted
pursuant to this paragraph (e)(ii)(3) shall not preclude a Participant from
being eligible for a waiver under paragraph (e)(ii)(2).
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(4)
If the Missed Submission is not an instance of a particular type of
Missed Submission (single name or Index) where the Participant has
satisfied the requirements of paragraph (e)(ii)(2), and is not due to an
extraordinary circumstance outside of a Participant’s control, the Chief
Compliance Officer shall conclude that the Missed Submission and
assessment stated in the Notice of Violation is finally determined.
(iii)
Any assessment amount finally determined as provided by this paragraph
(e)(iii) will become immediately due and owing and shall be billed and
collected by ICE Clear Credit in accordance with its normal procedures.
703.
The Business Conduct Committee.
(a)
The Business Conduct Committee shall have the power to direct that an
investigation of any suspected Violation be conducted by ICE Clear Credit, and
shall hear any matter referred to it by ICE Clear Credit or the Risk Management
Subcommittee regarding a suspected Violation.
(b)
The Business Conduct Committee shall be comprised of the independent
managers of the Board. ICE Clear Credit shall appoint from time to time a
chairman (the “BCC Chairman”) and a vice chairman (the “BCC Vice
Chairman”) of the Business Conduct Committee. The Business Conduct
Committee shall act through one or more subcommittees as provided in this
Chapter 7, with each such subcommittee chaired either by the BCC Chairman or
the BCC Vice Chairman. Three subcommittee members shall constitute a
quorum for any action of a subcommittee, so long as they are in attendance at
the time of the relevant action. No member of the Business Conduct Committee
or any subcommittee may be subject to statutory disqualification under CEA
Section 8a(2) or Section 3(a)(39) of the Securities Exchange Act, or other
applicable CFTC or SEC regulations, or have a significant history of serious
disciplinary offenses, including but not limited to those that would result in
disqualification under CFTC Rule 1.63.
(c)
The Business Conduct Committee shall, from time to time as it deems
appropriate, assign a subcommittee of three members (the “Review
Subcommittee”), chaired by the BCC Chairman or the BCC Vice Chairman, to
periodically receive and review the written investigation reports concerning
possible Violations provided by ICE Clear Credit and written settlement
agreements negotiated and entered into pursuant to Rule 702(d)(ii). If a member
of a Review Subcommittee believes he or she has a direct financial, personal or
other interest in the matter under consideration, the member shall notify the
Business Conduct Committee, which shall replace such member on the Review
Subcommittee for the particular matter. If there are insufficient available
members of the Business Conduct Committee to constitute a quorum on a
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Review Subcommittee, the Board may appoint such other independent
individuals as it determines appropriate to such Review Subcommittee.
(d)
If, after initial review of an investigation report, a Review Subcommittee
concludes that a Violation may have occurred, it shall allow the Participant a
reasonable opportunity to prepare and present whatever evidence the Participant
may have. Such a presentation shall be conducted informally with no transcript
taken.
(e)
In any case where a Review Subcommittee concludes that a Violation may have
occurred, such Review Subcommittee shall advise the Participant of that fact and
may:
704.
(i)
refer or return the matter to ICE Clear Credit staff with instructions for
further investigation;
(ii)
approve a settlement agreement negotiated and entered into pursuant to
Rule 702(d)(ii) with such Participant which may provide for a penalty other
than that recommended by the relevant ICE Clear Credit staff, subject to
the limitations set forth in subparagraph (e)(iv) of this Rule;
(iii)
refer the matter to a formal hearing of a Hearing Panel; or
(iv)
negotiate and enter into a written settlement agreement with the
Participant, whereby the Participant, with or without admitting guilt, may
agree to:
(1)
a cease and desist order or a reprimand; and/or
(2)
a fine of up to twenty-five thousand dollars for each Violation
alleged plus the monetary value of any benefit received as a result
of the alleged Violation.
Notice of Charges.
In any case in which a Review Subcommittee refers a matter to a formal hearing, ICE
Clear Credit staff shall serve a Notice of Charges (a “Notice”) on the Participant alleged
in such Notice to have been responsible for the alleged Violation (the “Respondent”),
the BCC Chairman and the President and/or Chief Executive Officer. Such Notice shall
state:
(a)
the acts, practices or conduct in which the Respondent is alleged to have
engaged;
(b)
how such acts, practices or conduct constitute a Violation, including specific
grounds for any denial or prohibition or limitation under consideration;
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(c)
that the Respondent is entitled, upon written request filed with ICE Clear Credit
pursuant to Section 705, to a formal hearing on the charges; and
(d)
the requirements and timeframes for filing an Answer as set forth in Rule 705.
705.
Answer; Request for Hearing; Failure to Answer or Deny Charges.
(a)
The Respondent shall serve on ICE Clear Credit a written answer (an “Answer”)
to the Notice of Charges, which may include a written request for a hearing on
the charges, within twenty days of the date of delivery of the Notice of Charges.
(b)
The Respondent’s Answer may include any applicable defenses and the
Respondent may attach to the Answer any documents that it deems to support
its defense.
(b)
The Respondent’s failure to file an Answer within twenty days of service of the
Notice shall be deemed an admission of all of the allegations contained in the
Notice.
(c)
The Respondent’s failure to expressly deny a particular allegation contained in
the Notice within twenty days of delivery of the Notice shall be deemed an
admission of such allegation.
(d)
The Respondent’s failure to request a hearing within such twenty-day period,
absent good cause shown, shall be deemed a waiver of Respondent’s right to a
hearing.
706.
Reply.
ICE Clear Credit staff may serve a reply (a “Reply”) to the Respondent’s Answer within
five days of the date of receipt of the Respondent’s Answer. The Reply must be limited
to the matters set forth in the Answer.
707.
Selection of Hearing Panel.
(a)
Formal hearings on any alleged Violation shall be conducted by a three-member
panel selected by the BCC Chairman from members of the Business Conduct
Committee who were not on the Review Subcommittee for such alleged Violation
(the “Hearing Panel”) and are not ineligible pursuant to paragraph (c) of this
Rule, and, if there are fewer than three available members of the Business
Conduct Committee, from the remaining members of the Board who are not
employees of the Respondent or any Affiliate. The BCC Chairman, in his or her
sole discretion, shall set a date for the hearing (the “Hearing Date”).
(b)
The BCC Chairman shall notify ICE Clear Credit staff and the Respondent of the
Hearing Date and the names of the members of the Hearing Panel at least fifteen
days prior to the Hearing Date.
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(c)
No member of the Hearing Panel shall hear a case in which that member, in the
determination of the BCC Chairman, has a direct financial, personal or other
interest in the matter under consideration. If there are insufficient available Board
members to constitute a Hearing Panel, the Board may appoint such other
individuals who do not have such an interest as it determines appropriate, to
complete the Hearing Panel.
708.
Challenge to Members of the Hearing Panel.
Within ten days after service on the Respondent of notice of the Hearing Date and
names of the members of the Hearing Panel, the Respondent may challenge, in writing,
the inclusion of any member of the Hearing Panel for cause, including without limitation,
if the member has a direct financial, personal or other interest in the matter under
consideration. The merits of such challenge shall be finally decided by the BCC
Chairman in his or her sole discretion. If said written challenge is not received within
such ten-day period, absent good cause shown, any such right to challenge is deemed
waived.
709.
Hearing on Penalty in the Event of Failure to Deny Charges; Failure to
Request Hearing Deemed Acceptance of Penalty.
In the event the Respondent fails to file an Answer or admits the allegations or fails to
deny the allegations in support of a charge of a Violation contained in the Notice, the
Hearing Panel shall find the Respondent guilty of each such Violation and may impose
a penalty for each such Violation subject to the limitations set forth in Rule 712(b)(v).
The Hearing Panel shall promptly notify the Respondent of any such penalty and of the
Respondent’s right to a hearing on the penalty within ten days, or such longer period as
the Hearing Panel may determine, after the imposition of such penalty. Failure to
request a hearing on the penalty in a timely manner, absent good cause shown, shall be
deemed to be acceptance of the penalty.
710.
Settlement Prior to Commencement of Hearing.
Prior to the commencement of the hearing, the Hearing Panel may negotiate and enter
into a written settlement agreement with the Respondent, whereby the Respondent,
with or without admitting guilt, may agree to:
(a)
a cease and desist order or a reprimand;
(b)
a fine of up to twenty-five thousand dollars for each Violation alleged plus the
monetary value of any benefit received as a result of the alleged Violation; and/or
(c)
a suspension of clearing privileges of up to one year; provided that such one year
limit shall not apply in the event that matter was referred to the Hearing Panel
pursuant to Rule 615(b), in which case the Respondent may agree to a lengthier
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suspension, a revocation of clearing privileges or a termination of Participant
status.
711.
Hearing Procedures.
Each Hearing Panel shall determine the procedures to be followed in any hearing
before it, except that the following shall apply in every case:
(a)
The prosecution shall be conducted by ICE Clear Credit staff.
(b)
The Respondent shall be allowed to be represented by legal counsel or any other
representative of its choosing and, either personally or through such
representative, to present witnesses and documentary evidence and to crossexamine witnesses.
(c)
ICE Clear Credit staff and the Respondent shall deliver to each other a statement
listing the witnesses expected to be called and the documents expected to be
introduced into evidence, together with copies of such documents, by such date
prior to the hearing as the Hearing Panel may reasonably specify. Unless the
Hearing Panel, in its discretion, waives compliance with this requirement, no
witness may testify and no documentary evidence may be introduced into
evidence unless listed in and, in the case of documents, furnished with such
statement. On written request, ICE Clear Credit staff shall provide the
Respondent with access to all books, documents or other tangible evidence in
the possession or under the control of ICE Clear Credit which are to be relied
upon by ICE Clear Credit or which are relevant to the allegations contained in the
Notice of Charges.
(d)
No formal rules of evidence shall apply, and the Hearing Panel shall be free to
accept or reject any and all evidence it considers proper.
(e)
Neither ICE Clear Credit staff, the Respondent, any witnesses testifying before
the Hearing Panel nor any other Person within ICE Clear Credit’s jurisdiction
shall engage in conduct that may impede the progress of a hearing or the fair
and just resolution of the subject matter thereof, and any such conduct may itself
constitute a Violation.
(f)
Ex parte contacts by any of the parties with members of the Hearing Panel shall
not be permitted.
(g)
A substantially verbatim record capable of being accurately transcribed shall be
made of the proceedings, provided, however, that such record need not be
transcribed, unless the transcript is requested by the Respondent or an
applicable regulator.
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(h)
The Notice of Charges, the Answer, the Reply, any stenographic transcript of the
hearing, the documentary evidence and any other material presented to the
Hearing Panel by either party with notice to the other shall constitute the record
of the hearing (the “Hearing Record”).
(i)
The burden of proof shall be on the prosecution. A finding of a Violation shall be
made by majority vote based on the Hearing Panel’s good faith judgment as to
the weight of the evidence contained in the Hearing Record.
712.
Written Decision of Hearing Panel.
(a)
If the Hearing Panel finds that the Respondent has not committed any Violation
charged, it shall render a written decision to that effect, and the Respondent shall
not be subject to any further proceedings with respect to the Violation charged.
The written decision shall include:
(b)
(i)
a summary of the allegations contained in the Notice of Charges;
(ii)
a summary of the Answer;
(iii)
a brief summary of the evidence produced at the hearing or, where
appropriate, incorporation by reference of the investigation report; and
(iv)
a statement of the findings and conclusions of the Hearing Panel with
respect to each charge.
If the Hearing Panel finds the Respondent has committed the Violation charged,
it shall render a written decision to that effect. The written decision shall include:
(i)
a summary of the allegations contained in the Notice of Charges;
(ii)
a summary of the Answer;
(iii)
a brief summary of the evidence produced at the hearing or, where
appropriate, incorporation by reference of the investigation report; and
(iv)
a statement of the findings and conclusions of the Hearing Panel with
respect to each charge, including how Respondent is found to have
committed a Violation, including a statement setting forth the act or
practice in which the Participant has been found to have engaged, or
which such Participant has been found to have omitted and the specific
provisions of the Rules which such act or omission violates; and
(v)
an order stating any penalty imposed and the effective date of such
penalty; the penalty that may be imposed on the Respondent shall be one
or more of the following:
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(A)
a cease and desist order or a reprimand;
(B)
a fine of up to one hundred thousand dollars for each Violation plus
the monetary value of any benefit received as a result of the
alleged violation; and/or
(C)
a recommendation to the Board to impose a suspension or
revocation of clearing privileges or a termination of Participant
status of the Respondent, in accordance with the requirements of
Rule 615(b).
(c)
ICE Clear Credit shall notify the CFTC and the SEC promptly of any
determination by a Hearing Panel that a Participant has committed a Violation
and the penalty imposed, and shall make available to the CFTC and the SEC the
written decision of the Hearing Panel and any related materials upon request,
subject to applicable law.
713.
Liability for Expenses.
Any Respondent that, after notice and opportunity for hearing, has been found to have
committed a Violation may, in the discretion of the Hearing Panel appointed in the
matter, be required to pay to ICE Clear Credit an amount equal to any and all out-ofpocket expenses incurred by ICE Clear Credit in connection with the prosecution of
such Violations, in addition to any penalty which may be imposed upon such Participant
by virtue of the Violations found by the Hearing Panel.
714.
Effective Date of Penalties.
(a)
If a Participant enters into a settlement agreement with relevant ICE Clear Credit
staff, the terms of which have been approved by the relevant Review
Subcommittee, or with such Review Subcommittee or Hearing Panel, any penalty
included as a part of such settlement agreement shall become final and effective
on the date that such Review Subcommittee or Hearing Panel approves or enters
into such settlement agreement.
(b)
Any decision (including any penalty) by a Hearing Panel shall be the final
decision of ICE Clear Credit and shall become effective fifteen days, or such
longer time as the Hearing Panel may specify, after a copy of the written decision
of the Hearing Panel has been served on the Respondent; provided, however,
that in any case where the Respondent has consented to the action taken and to
the timing of its effectiveness or the matter was referred to the Hearing Panel
pursuant to Rule 615(b), the Hearing Panel may cause the decision involving any
disciplinary action (including any penalty) to become effective prior to the fifteen
day period.
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(c)
Any fine imposed by a Hearing Panel shall be due and payable on the effective
date of the decision imposing such fine, or on such later date as the Hearing
Panel may specify.
715.
Extension of Time Limits.
(a)
Any time limit provided for in Rules 704, 705, 706, 707, 708, 709 or 711 may be
extended by mutual consent of the Respondent and ICE Clear Credit, by the
BCC Chairman, or, if a Hearing Panel has been appointed, by the majority vote
of the Hearing Panel.
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8.
GENERAL GUARANTY FUND
801.
General Guaranty Fund Contribution.
(a)
(i)
Each Participant shall Transfer to ICE Clear Credit, and thereafter
maintain so long as it is a Participant, Collateral for deposit in the
General Guaranty Fund in the form and in such amounts as may be
determined by ICE Clear Credit as provided herein and in accordance
with the ICE Clear Credit Procedures as in effect from time to time
(“Required Contribution”); provided that, following the determination by
ICE Clear Credit that a Participant is in Default (or the automatic
occurrence of a Default, as applicable), (x) ICE Clear Credit shall not be
entitled to adjust such Defaulting Participant’s Required Contribution
and (y) until such time as ICE Clear Credit has completed the Closingout Process with respect to such Defaulting Participant, ICE Clear Credit
shall not be entitled to adjust any other Participant’s Required
Contribution except for periodic adjustments of Participants’ Required
Contributions contemplated by the ICE Clear Credit Procedures;
provided, further, that ICE Clear Credit shall not be entitled to increase a
Retiring Participant’s Required Contribution following the first date on
which such Retiring Participant no longer has any Open Positions. ICE
Clear Credit shall cause appropriate entries to be made in its books and
records to reflect the deposit of Collateral, the ICE Clear Credit Priority
Contribution and the ICE Clear Credit Pro Rata Contribution into the
General Guaranty Fund. ICE Clear Credit shall have the sole right to
withdraw cash, securities or other property from, and to authorize the
sale or other disposition of any securities or other property held in, the
General Guaranty Fund, subject to the limitations imposed in
subparagraph (b)(v) of this Rule. A Participant may request, in
accordance with the ICE Clear Credit Procedures, that ICE Clear Credit
withdraw Collateral from the General Guaranty Fund and return it to the
Participant to the extent the Participant’s contributions to the General
Guaranty Fund exceed its Required Contribution and any Specific
Wrong Way Risk (“WWR”) Guaranty Fund Contribution (as defined
below) at that time. A Participant may substitute, in accordance with the
ICE Clear Credit Procedures, Collateral for an amount of Collateral
currently on deposit in the General Guaranty Fund and credited to such
Participant having a value, determined in accordance with the ICE Clear
Credit Procedures, not to exceed such substitute Collateral. ICE Clear
Credit shall pay a Participant interest for any net cash Collateral of such
Participant in the General Guaranty Fund, at an interest rate and on a
frequency determined from time to time by ICE Clear Credit in the ICE
Clear Credit Procedures. The eligible forms of Collateral will be as set
forth in Schedule 401 as in effect from time to time. Collateral provided
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by Participant may be invested only in accordance with the investment
guidelines in the ICE Clear Credit Procedures.
Subject to the foregoing, the Required Contribution for a Participant as
of any date of determination shall be the greater of (x) such Participant’s
proportionate share of the aggregate Participant Loss Exposure, which
will be calculated as the two largest Participant Loss Exposures; and (y)
$20,000,000. As used herein, “Participant Loss Exposure” means with
respect to a Participant, the amount determined by ICE Clear Credit
using stress test methodology, calculated on a net exposure basis
separately within the House Positions and Client-Related Positions of
that Participant, equal to the expected losses to ICE Clear Credit
associated with the default of that Participant taking into account both
(a) the uncollateralized loss (i.e., the loss after application of Initial
Margin and Mark-to-Market Margin) given default and (b) the
uncollateralized loss from contracting or widening credit spreads.
(ii)
The Required Contribution will be calculated and set for Participants on
a monthly basis. In addition, the Required Contribution for each
Participant will be recalculated on each ICE Business Day daily and if
such calculation would result in an increase of 5% or more, the Required
Contribution for such Participant will be reset to the higher level. For
purposes of the monthly calculation, the Participant Loss Exposure used
in calculating the Required Contribution for any Participant and any date
of determination will be the greater of (x) the level determined as of the
next preceding ICE Business Day and (y) the average of the levels on
each ICE Business Day from and including the last Required
Contribution determination to but excluding such next preceding ICE
Business Day. The determination by ICE Clear Credit of the Required
Contribution shall be binding absent manifest error.
(iii)
In addition to the Required Contribution determined pursuant to Rule
801(a)(i) above, each Specific WWR CDS Participant shall Transfer to
ICE Clear Credit a supplemental amount, as determined by ICE Clear
Credit, for deposit in the General Guaranty Fund in respect of the
additional expected losses or risk to ICE Clear Credit associated with
the Specific WWR CDS Participant’s position under WWR Contracts
accepted for clearing by ICE Clear Credit (the “Specific WWR
Guaranty Fund Contribution”). As used herein, a “Specific WWR
CDS Participant” means a Participant that has the position of protection
seller under a Contract accepted for clearing under which the Participant
or its Affiliate constitutes a reference entity or a component of the
underlying index of reference entities (such a Contract, a “WWR
Contract”). Except as the context otherwise requires, Specific WWR
Guaranty Fund Contributions shall be subject to the provisions of the
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first paragraph of Rule 801(a)(i) and Rule 801(a)(ii) applicable to
Required Contributions.
(b)
ICE Clear Credit shall contribute and maintain deposit(s) of capital in the General
Guaranty Fund in such form and amount(s) and at such time(s) as follows:
(i)
ICE Clear Credit shall have made a contribution to the General Guaranty
Fund of twenty-five million dollars (the aggregate amount of dollars so
contributed by ICE Clear Credit pursuant to this subparagraph, reduced by
any charge applied to such amount pursuant to Rule 802(b) and not
reimbursed under Rule 802(a) or (c), the “ICE Clear Credit Priority
Contribution”). ICE Clear Credit may invest the ICE Clear Credit Priority
Contribution only in accordance with the investment guidelines in the ICE
Clear Credit Procedures. If the value, determined in accordance with the
ICE Clear Credit Procedures, of the assets constituting the ICE Clear
Credit Priority Contribution is below the required amount of the ICE Clear
Credit Priority Contribution because of a decrease in the value of such ICE
Clear Credit Priority Contribution (including as the result of investments of
the ICE Clear Credit Priority Contribution, but excluding decreases
resulting from a charge to such amount pursuant to Rule 802(b)), ICE
Clear Credit shall be required, by the open of business on the following
ICE Business Day, to contribute an additional amount of assets to the
General Guaranty Fund sufficient to cause the assets constituting the ICE
Clear Credit Priority Contribution to have a value, determined in
accordance with the ICE Clear Credit Procedures, of at least the required
amount of the ICE Clear Credit Priority Contribution.
(ii)
In addition to the aggregate contribution to the General Guaranty Fund by
ICE Clear Credit of twenty-five million dollars as described in
subparagraph (i), ICE Clear Credit shall have made an additional
contribution to the General Guaranty Fund pursuant to this subparagraph
(ii) (exclusive of the ICE Clear Credit Priority Contribution) of twenty-five
million dollars (from time to time, the aggregate amount of dollars
contributed to the General Guaranty Fund by ICE Clear Credit pursuant to
this subparagraph, reduced by any charge applied to such amount
pursuant to Rule 802(b), the “ICE Clear Credit Pro Rata Contribution”).
ICE Clear Credit may invest the ICE Clear Credit Pro Rata Contribution
only in accordance with the investment guidelines in the ICE Clear Credit
Procedures. If the value, determined in accordance with the ICE Clear
Credit Procedures, of the assets constituting the ICE Clear Credit Pro
Rata Contribution is below the required amount of the ICE Clear Credit
Pro Rata Contribution because of a decrease in the value of such ICE
Clear Credit Pro Rata Contribution, an investment of the ICE Clear Credit
Pro Rata Contribution or a charge to such amount pursuant to Rule
802(b), ICE Clear Credit shall be required, by the open of business on the
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following ICE Business Day, to contribute an additional amount of assets
to the General Guaranty Fund sufficient to cause the assets constituting
the ICE Clear Credit Pro Rata Contribution to have a value, determined in
accordance with the ICE Clear Credit Procedures, of at least the required
amount of the ICE Clear Credit Pro Rata Contribution.
(c)
(iii)
For the purposes of allocating the application of any charge to the General
Guaranty Fund pursuant to Rule 802(b), the amount of the ICE Clear
Credit Priority Contribution and the ICE Clear Credit Pro Rata Contribution
shall be determined as of the date of such application. Subject to the ICE
Clear Credit Default Maximum, any deficiency of the actual ICE Clear
Credit Priority Contribution or ICE Clear Credit Pro Rata Contribution
relative to the required amount thereof at the time of application shall
remain the liability of ICE Clear Credit, notwithstanding anything to the
contrary in these Rules.
(iv)
Intentionally omitted.
(v)
ICE Clear Credit may make withdrawals from the General Guaranty Fund
in respect of the ICE Clear Credit Priority Contribution and the ICE Clear
Credit Pro Rata Contribution only to the extent the value of the assets
constituting such contribution exceeds the required amount thereof and for
purposes of application of any charge to the General Guaranty Fund
pursuant to Rule 802(b). ICE Clear Credit may substitute assets
constituting the ICE Clear Credit Priority Contribution or the ICE Clear
Credit Pro Rata Contribution in accordance with the investment guidelines
in the ICE Clear Credit Procedures.
(vi)
ICE Clear Credit’s obligation under this Rule 801(b) to contribute
additional assets to the General Guaranty Fund shall cease upon the
occurrence of one of the reasons for commencing the winding up of Open
Positions, as described in Rule 804(a), except for any due and unpaid
amounts at the time of such occurrence.
For the purposes of the application of amounts charged to the General Guaranty
Fund pursuant to Rule 802(b) and recoveries related thereto pursuant to Rule
802(a) or (c), the General Guaranty Fund (excluding the ICE Clear Credit Priority
Contribution, the General Guaranty Fund contribution of the relevant Participant
whose Default or Obligation Failure results in such application (such Participant,
the “Excluded Participant” and the Remaining Aggregate Specific WWR
Contribution (as defined below)) shall be separated from time to time into two
tranches as follows:
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802.
(a)
(i)
“Tranche 1” shall consist of (A) the ICE Clear Credit Pro Rata Contribution
(as adjusted, if applicable, by the proviso below) and (B) a portion of the
Required Contribution of each Participant other than the Excluded
Participant and any Retiring Participant if the relevant Obligation Failure or
Default occurred after such Retiring Participant’s Scheduled Return Date
(as defined in Rule 803) (each, a “Remaining Participant”) equal to such
Remaining Participant’s Required Contribution divided by the sum of all
Remaining Participants’ Required Contributions multiplied by the number
of Remaining Participants multiplied by the ICE Clear Credit Pro Rata
Contribution (as adjusted, if applicable, by the proviso below); provided
that if the sum of all Remaining Participants’ Required Contributions
divided by the number of Remaining Participants (the “Average
Contribution”) is less than the ICE Clear Credit Pro Rata Contribution, for
the purposes of determining Tranche 1, the ICE Clear Credit Pro Rata
Contribution shall be deemed to be the Average Contribution and the
remainder of the ICE Clear Credit Pro Rata Contribution shall be applied,
if at all, in accordance with Rule 802(b)(iv).
(ii)
“Tranche 2” shall consist of the excess of each Remaining Participant’s
Required Contributions over the amounts thereof included in Tranche 1.
General Guaranty Fund Application.
If a Participant is in Default and, as a result thereof, ICE Clear Credit suffers
any loss or expense in effecting the Closing-out Process, or a Participant shall
fail to make any other payment or render any other performance required
under these Rules or a Contract (such failure, an “Obligation Failure”), then
ICE Clear Credit shall, after appropriate application of such Participant’s
Margin (including, with respect to losses or expenses arising out of ClientRelated Positions, Margin provided by such Participant in the Client Omnibus
Margin Account solely to the extent such Margin is permitted to be used under
the Rules and applicable law) and other funds in or payable to the accounts of
such Participant and any amounts collected from any guarantor of such
Participant, or may, prior to such application, charge to and apply against the
Participant’s contributions to the General Guaranty Fund (including any
Specific WWR Guaranty Fund Contribution of such Participant), in the manner
and in the order of priority set forth below:
(i)
FIRST: To the payment of the costs and expenses of any sale,
collection or other realization of such Margin or Collateral or amounts
deposited by others in the General Guaranty Fund, including, without
limitation, fees and expenses of counsel, and all reasonable expenses,
liabilities and advances made or incurred by ICE Clear Credit in
connection therewith;
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(ii)
SECOND: To the payment of any Obligations relating to Open
Positions or the Closing-out Process or any obligations of ICE Clear
Credit, in either case, arising out of or in any way relating to such
Participant’s Default or Obligation Failure (such obligations, together
with the costs and expenses described in subparagraph (i), the
“Reimbursement Obligations”);
(iii)
THIRD: To the extent any amount has been charged to or applied
against the General Guaranty Fund pursuant to subparagraph (b)(vi) of
this Rule on account of such Participant’s Default or Obligation Failure,
to the Participants whose contribution to the General Guaranty Fund
was charged and applied (whether or not such Participant remains a
Participant at the time of the collection), in each case in proportion to
the amount each was charged and applied in accordance with
subparagraph (b)(vi) of this Rule, up to the amount of such charge and
application;
(iv)
FOURTH: To the extent any amount has been charged to or applied
against the General Guaranty Fund pursuant to subparagraph (b)(v) of
this Rule on account of such Participant’s Default or Obligation Failure,
to the Participants and ICE Clear Credit whose contribution to the
General Guaranty Fund was charged and applied (whether or not such
Participant remains a Participant at the time of the collection), first to
the Participants charged to the extent they were charged after the ICE
Clear Credit Default Maximum was reached and thereafter to the
Participants and ICE Clear Credit, in each case in proportion to the
amount each was charged and applied in accordance with
subparagraph (b)(v) of this Rule, up to the amount of such charge and
application;
(v)
FIFTH: To the extent any amount has been charged to or applied
against Tranche 2 pursuant to subparagraph (b)(iv) of this Rule on
account of such Participant’s Default or Obligation Failure, to the
Participants whose contribution to Tranche 2 was charged and applied
(whether or not such Participant remains a Participant at the time of the
collection), in proportion to the amount each was charged and applied
in accordance with subparagraph (b)(iv) of this Rule, up to the amount
of such charge and application;
(vi)
SIXTH: To the extent any amount has been charged to or applied
against Tranche 1 pursuant to subparagraph (b)(iii) of this Rule on
account of such Participant’s Default or Obligation Failure, to the
Participants and ICE Clear Credit whose contribution to Tranche 1 was
charged and applied (whether or not such Participant remains a
Participant at the time of the collection), in proportion to the amount
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each was charged and applied in accordance with subparagraph (b)(iii)
of this Rule, up to the amount of such charge and application;
(vii)
SEVENTH: To the extent any amount has been charged to or applied
against the ICE Clear Credit Priority Contribution pursuant to
subparagraph (b)(ii) of this Rule on account of such Participant’s
Default or Obligation Failure, to ICE Clear Credit up to the amount of
such charge and application; provided that ICE Clear Credit shall
contribute any amount recovered in respect of this subparagraph to the
General Guaranty Fund for credit to the ICE Clear Credit Priority
Contribution;
(viii)
EIGHTH: To the extent any amount has been charged to or applied
against the Remaining Aggregate Specific WWR Contribution pursuant
to subparagraph (b)(i) of this Rule on account of such Participant’s
Default or Obligation Failure, to the Participants whose contribution to
the Remaining Aggregate Specific WWR Contribution was charged and
applied (whether or not such Participant remains a Participant at the
time of the collection), in proportion to the amount each was charged
and applied in accordance with subparagraph (b)(i) of this Rule, up to
the amount of such charge and application; and
(ix)
NINTH: To ICE Clear Credit or to whomsoever may be lawfully entitled
to receive any surplus then remaining from such proceeds (including,
without limitation, any insurer, surety or guarantor of the obligations of
ICE Clear Credit) or as a court of competent jurisdiction may direct, of
any such surplus or, if neither ICE Clear Credit nor any other Person is
lawfully entitled to receive any such surplus, to or upon the order of the
relevant Participant; provided that, if such Participant is a Defaulting
Participant, then until such Defaulting Participant’s Retirement Date
determined pursuant to Rule 803, no such surplus shall be available for
distribution under this subparagraph (vii) and any such surplus shall
remain in the General Guaranty Fund and be subject to charge and
application under paragraph (b) of this Rule.
Reimbursement Obligations shall include obligations in respect of a Defaulting
Participant’s House Positions and Client-Related Positions. To the extent such
Reimbursement Obligations cannot be satisfied in full pursuant to this
subsection (a), amounts available pursuant to this subsection (a) shall be
applied to Reimbursement Obligations in respect of House Positions and
Client-Related Positions in proportion to the respective Initial Margin
requirements of the Defaulting Participant in respect of such positions
immediately prior to the Default, until the Reimbursement Obligations in
respect of House Positions or Client-Related Positions are reduced to zero.
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(b)
Following the occurrence of an Obligation Failure, the determination by ICE
Clear Credit that a Participant is in Default or the occurrence of an Automatic
Default with respect to a Participant, ICE Clear Credit shall be entitled, from
time to time, to charge to and apply against the General Guaranty Fund with
respect to any of such Participant’s Remaining Reimbursement Obligations, in
the following order:
(i)
where the Defaulting Participant is a Specific WWR CDS Participant,
the aggregate remaining Specific WWR Guaranty Fund Contributions
of all other Specific WWR CDS Participants (the “Remaining
Aggregate Specific WWR Contribution”);
(ii)
the ICE Clear Credit Priority Contribution;
(iii)
Tranche 1, pro rata from the contributions thereto of the Remaining
Participants and ICE Clear Credit, based on the relative size of such
contributions;
(iv)
Tranche 2, pro rata from the contributions thereto of the Remaining
Participants, based on the relative size of such contributions;
(v)
any additional assets deposited in the General Guaranty Fund
pursuant to paragraph (d) of this Rule (other than any such assets
deposited in respect of a Participant’s Specific WWR Guaranty Fund
Contribution), pro rata from each Remaining Participant’s contributions,
based on the relative size of such contributions; provided that, for the
purposes of this subparagraph, if the entire ICE Clear Credit Pro Rata
Contribution was not included in Tranche 1 pursuant to the proviso in
Rule 801(c)(i), the excess of the ICE Clear Credit Pro Rata
Contribution over the amount thereof included in Tranche 1 shall be
applied pursuant to this subparagraph (v), along with additional
amounts deposited in the General Guaranty Fund by Participants
pursuant to paragraph (d) of this Rule at the same proportionate rate of
application as in Tranche 1 until the ICE Clear Credit Default Maximum
is reached; and
(vi)
(A) the Remaining Aggregate Specific WWR Contribution (where the
Defaulting Participant is not a Specific WWR CDS Participant); and (B)
in any case any additional assets deposited in the General Guaranty
Fund pursuant to paragraph (d) of this Rule in respect of a Participant’s
Specific WWR Guaranty Fund Contribution.
Notwithstanding anything to the contrary in these Rules, in no event shall more
than the ICE Clear Credit Default Maximum be applied in the aggregate to the
ICE Clear Credit Pro Rata Contribution in the case of a single Participant
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Default and any Obligation Failure resulting in such Default. “ICE Clear Credit
Default Maximum” means, at any time of determination, the lesser of (A)
twenty-five million dollars and (B) the amount of the ICE Clear Credit Pro Rata
Contribution that has been applied at the time all additional assets that
Remaining Participants may be required to deposit in the General Guaranty
Fund pursuant to paragraph (d) of this Rule have been applied.
As used herein, “Remaining Reimbursement Obligations” means those
Reimbursement Obligations in respect of a Defaulting Participant that remain
unsatisfied after application of available amounts pursuant to subsection (a).
Available amounts pursuant to this subsection must be applied to Remaining
Reimbursement Obligations in respect of Client-Related Positions and House
Positions in proportion to the respective Initial Margin requirements of the
Defaulting Participant in respect of such positions immediately prior to the
Default, until the Remaining Reimbursement Obligations in respect of ClientRelated Positions or House Positions are reduced to zero.
(c)
Any deficiency in respect of Obligations shall remain a liability of the Participant
and any related guarantor to ICE Clear Credit, which ICE Clear Credit may
collect from any Margin (to the extent permitted to be used under these Rules),
Collateral or other assets of such Participant or such guarantor or by legal
process. Any such collection by ICE Clear Credit shall be applied in the
following order: (i) to the costs and expenses, including, without limitation, fees
and expenses of counsel, of obtaining such collection, (ii) to any unreimbursed
costs and expenses referred to in subparagraph (a)(i) of this Rule, (iii) to any
deficiencies owed to Participants under Wound-up Contracts described in Rule
804, (iv) to the Participants whose contribution to the General Guaranty Fund
was charged and applied for such deficiency pursuant to subparagraph (b)(v)
of this Rule (whether or not such Participant remains a Participant at the time
of the collection), first to the Participants charged to the extent they were
charged after the ICE Clear Credit Default Maximum was reached and
thereafter to the Participants and ICE Clear Credit, in each case in proportion
to the amount each was charged and applied in accordance with subparagraph
(b)(v) of this Rule, up to the amount of such charge and application, (vi) to the
Participants whose contribution to Tranche 2 was charged and applied for such
deficiency (whether or not such Participant remains a Participant at the time of
the collection), in proportion to the amount each was charged and applied in
accordance with subparagraph (b)(iv) of this Rule, up to the amount of such
charge and application, (vii) to the Participants and ICE Clear Credit whose
contribution to Tranche 1 was charged and applied for such deficiency
(whether or not such Participant remains a Participant at the time of the
collection), in proportion to the amount each was charged and applied in
accordance with subparagraph (b)(iii) of this Rule, up to the amount of such
charge and application, (viii) to ICE Clear Credit in respect of the charge and
application against the ICE Clear Credit Priority Contribution, up to the amount
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of such charge and application; provided that ICE Clear Credit shall contribute
any amount recovered in respect of this clause to the General Guaranty Fund
for credit to the ICE Clear Credit Priority Contribution; (ix) to the Participants
whose contribution to the General Guaranty Fund was charged and applied for
such deficiency pursuant to subparagraph (b)(i) of this Rule (whether or not
such Participant remains a Participant at the time of the collection), in each
case in proportion to the amount each was charged and applied in accordance
with subparagraph (b)(i) of this Rule, up to the amount of such charge or
application; (x) to the Client Omnibus Margin Account to the extent the
Participant’s Margin in respect of Client-Related Positions was applied to such
deficiency; and (xi) to the payment of any other Obligations.
(d)
Additional Collateral Deposit. ICE Clear Credit shall notify Participants
whenever an amount is charged to and applied against the General Guaranty
Fund as provided in paragraphs (a) or (b) of this Rule (which notice will state
the reason for such charge or application). If Reimbursement Obligations are
charged to and applied against Collateral in the General Guaranty Fund
pursuant to paragraph (a) or (b) of this Rule and, as a result, the amount of
Collateral credited to a Participant is less than the amount it was required to
maintain pursuant to Rule 801 immediately prior to such charge and
application, the Participant shall Transfer to ICE Clear Credit additional
Collateral for deposit into the General Guaranty Fund in an amount at least
sufficient to restore that Participant’s Required Contribution and any Specific
WWR Guaranty Fund Contribution; provided that, if a Participant is a Retiring
Participant or provides notice that causes it to become a Retiring Participant
prior to the time such deposit is due, the Participant’s additional Transfer
required pursuant to this sentence shall be limited to the excess, if any, of (i)
such Participant’s Required Contribution and any Specific WWR Guaranty
Fund Contribution on the date of the most recent application of Collateral from
the General Guaranty Fund pursuant to paragraph (b) of this Rule over (ii) the
aggregate Transfers of Collateral to ICE Clear Credit for deposit in the General
Guaranty Fund made by such Participant after it became a Retiring Participant
(other than in respect of increases to its Required Contribution or Specific
WWR Guaranty Fund Contribution for periodic adjustments permitted under
Rule 801) and any contributions of the Participant to the General Guaranty
Fund in excess (as determined by ICE Clear Credit) of its Required
Contribution and Specific WWR Guaranty Fund Contribution (with respect to
such Participant, such excess of clause (i) over clause (ii) from time to time, the
“Additional Assessment Limit”); provided that, if a Participant was not
obligated to make a Transfer to ICE Clear Credit of additional Collateral for
deposit in the General Guaranty Fund because its Additional Assessment Limit
was reduced to zero and, thereafter, its Required Contribution or Specific
WWR Guaranty Fund Contribution increases, the Participant shall Transfer to
ICE Clear Credit such additional Collateral for deposit in the General Guaranty
Fund to the extent of its Additional Assessment Limit (determined using such
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increased Required Contribution or Specific WWR Guaranty Fund Contribution,
as applicable) on the ICE Business Day following the effectiveness of such
increase. All such additional Collateral shall be Transferred to ICE Clear Credit
prior to ICE Clear Credit’s opening of business on the first ICE Business Day
following such notice or such later time as ICE Clear Credit shall determine in
its sole discretion. A Participant that fails to Transfer the full amount of such
additional Collateral, shall be in Default, and ICE Clear Credit may, in addition
to any other remedies it may have, debit such Participant’s House Margin
Account for any or all of such unpaid amount and assess fines and charges
against such Participant as provided in Rule 606.
(e)
Each Participant agrees that all right, title and interest in and to any cash
Collateral Transferred by such Participant to ICE Clear Credit for deposit in the
General Guaranty Fund and any cash proceeds of such Participant’s Collateral
on deposit in the General Guaranty Fund shall vest in ICE Clear Credit free
and clear of any liens, claims, charges or encumbrances in accordance with
Rule 402(a). Upon the occurrence of a Default or an ICE Clear Credit Default,
or as otherwise provided in these Rules, ICE Clear Credit shall be entitled to
apply such cash Collateral and cash proceeds in the General Guaranty Fund,
regardless of the source, and any interest payable with respect thereto (i) to
the Reimbursement Obligations of any Participant or (ii) to the obligations of
ICE Clear Credit to any Participant under any Wound-up Contracts.
(f)
(i)
Each Participant hereby grants to ICE Clear Credit, acting on behalf of
itself and each Participant, a continuing lien and security interest in and
to and right of set-off against all of Participant’s right, title and interest,
whether now owned or existing or hereafter acquired or arising, in and
to all Collateral consisting of (A) all securities, financial assets and other
property (other than cash) Transferred by such Participant to ICE Clear
Credit for credit to the General Guaranty Fund and (B) all non-cash
proceeds of any of the foregoing (jointly, (A) and (B), the “Pledged
Guaranty Collateral”) as security for any and all Reimbursement
Obligations of any and all Participants to ICE Clear Credit and for ICE
Clear Credit’s obligations to any and all Participants under Wound-up
Contracts in the event of an ICE Clear Credit Default (collectively, the
“Guaranteed Obligations”). Upon the return of Pledged Guaranty
Collateral by ICE Clear Credit to a Participant in accordance with these
Rules and the ICE Clear Credit Procedures, the security interest and
lien granted hereunder on such Pledged Guaranty Collateral will be
released immediately without any further action by either party.
(ii)
Upon the occurrence of a Default or an ICE Clear Credit Default, or as
otherwise provided in these Rules, ICE Clear Credit, on behalf of itself
or any Participant, may exercise all rights of a secured party under
applicable law and all rights under these Rules. ICE Clear Credit may,
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without being required to give any notice, except as may be required by
law, sell or otherwise apply any Pledged Guaranty Collateral
Transferred to, or otherwise under the control of, ICE Clear Credit to
satisfy the Guaranteed Obligations. Upon any such sale, ICE Clear
Credit shall have the right to deliver, assign and transfer to the
purchaser thereof the Pledged Guaranty Collateral so sold. Each
purchaser at any such sale shall hold the Pledged Guaranty Collateral
so sold to it absolutely and free from any claim or right of whatsoever
kind, including any equity or right of redemption of the Participant which
may be waived, and the Participant, to the extent permitted by law,
hereby specifically waives all rights of redemption, stay or appraisal
which it has or may have under any law now existing or hereafter
adopted.
(iii)
Each Participant represents that it is the sole owner of or otherwise has
the right to Transfer to ICE Clear Credit the Pledged Guaranty Collateral
subject to the foregoing lien and security interest, free and clear of any
other security interest, lien, encumbrance or other restrictions, and
agrees not to create or permit to exist any such security interest, lien,
encumbrance or other restrictions. Each Participant agrees to take any
action reasonably requested by ICE Clear Credit that may be necessary
or desirable for ICE Clear Credit to create, preserve, perfect or validate
the foregoing lien and security interest or to enable ICE Clear Credit to
exercise or enforce its rights with respect thereto. With respect to any
Pledged Guaranty Collateral consisting of securities and other financial
assets Transferred by ICE Clear Credit in accordance with these Rules,
each Participant agrees it will accept securities and financial assets of
the same issuer, type, nominal value, description and amount as those
securities and financial assets initially Transferred by such Participant to
ICE Clear Credit.
(iv)
Each Participant agrees that ICE Clear Credit may at any time and from
time to time assign, transfer, pledge, repledge or otherwise create a lien
on or security interest in, the General Guaranty Fund and/or the cash,
securities and other property held in the General Guaranty Fund to
secure the repayment of funds borrowed by ICE Clear Credit (plus
interest, fees and other amounts payable in connection therewith) or
pursuant to a repurchase agreement or similar transaction. Any such
borrowing or repurchase transaction shall be on terms and conditions
deemed necessary or advisable by ICE Clear Credit (including the
collateralization thereof) in its sole discretion, and may be in amounts
greater, and extend for periods of time longer, than the obligations, if
any, of any Participant to ICE Clear Credit for which such cash,
securities or other property was pledged to or deposited with the ICE
Clear Credit. Any funds so borrowed or obtained in repurchase
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agreements or similar transactions shall be used and applied by ICE
Clear Credit solely for the purposes for which cash, securities and other
property held in the General Guaranty Fund are authorized to be used
pursuant to these Rules; provided that the failure of ICE Clear Credit to
use such funds in accordance with this subsection shall not impair any
of the rights or remedies of any assignee, pledgee or holder of any such
lien or security interest or repurchase transaction counterparty. Cash,
securities and other property held in the General Guaranty Fund,
subject to the rights and powers of ICE Clear Credit with respect thereto
as set forth in these Rules and any agreements between any Participant
and ICE Clear Credit, and subject to the rights and powers of any
person to which the General Guaranty Fund or any cash, securities or
other property held therein shall have been assigned, transferred,
pledged, repledged or otherwise subjected to a lien or security interest,
shall remain the property of the respective Participants depositing such
cash securities and other property. Without limiting the foregoing, ICE
Clear Credit may in connection with a Participant default (A) exchange
cash held in the General Guaranty Fund for securities of equivalent
value, and/or (B) exchange cash in one currency held in the Guaranty
Fund for cash of equivalent value in a different currency, in each case
on such terms (including, if applicable, the relevant duration of any such
exchange) as ICE Clear Credit may determine in accordance with its
liquidity policies and procedures.
(g)
803.
A Participant shall take no action, including but not limited to attempting to
obtain a court order, that could interfere with the ability of ICE Clear Credit (i) to
take any action contemplated by this Rule, including, without limitation, to
liquidate, set off and/or apply such Participant’s Open Positions, Collateral or
other assets, pursuant to these Rules or (ii) to set off amounts owed to such
Participant against such Participant’s Obligations or any other Participant’s
Reimbursement Obligations.
Return of General Guaranty Fund Contributions.
ICE Clear Credit shall return a Retiring Participant’s contributions to the General
Guaranty Fund, to the extent not charged to or applied against pursuant to Rule 802 or
Rule 804, no later than the later of (i) the Retiring Participant’s Scheduled Return Date
and (ii) the earlier of (A) the date that ICE Clear Credit determines that any Default that
occurred on or prior to such Scheduled Return Date will not result in a charge against
such Retiring Participant’s contribution to the General Guaranty Fund or that there was
no such Default and (B) the date that is 90 calendar days from such Scheduled Return
Date (the later of clause (i) and (ii), the “Retirement Date”). Upon such return, the
Retiring Participant shall have no further obligation to make contributions to the General
Guaranty Fund, notwithstanding any remaining Additional Assessment Limit. With
respect to a Retiring Participant, the “Scheduled Return Date” shall be the last ICE
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Business Day of the first calendar quarter that has at least sixty calendar days
remaining as of the first date on which such Retiring Participant no longer has any Open
Positions.
804.
Exhaustion of General Guaranty Fund; Winding Up.
(a)
If (i) the application of the General Guaranty Fund in accordance with Rule
802(b) is insufficient to discharge in full the Remaining Reimbursement
Obligations of the relevant Participant, taking into account (subject to the
Additional Assessment Limit) additional deposits made in accordance with
Rules 801 or 802, (ii) the Board determines, by virtue of the number of Retiring
Participants or otherwise, that a winding up of outstanding Contracts is prudent
or (iii) an ICE Clear Credit Default occurs pursuant to Rule 805, the Board shall
determine close-out values for all Open Positions (the “Wound-up Contracts”)
on a date and at prices determined by the Board in its discretion, acting in good
faith and a commercially reasonable manner, and shall determine a single net
amount owed by or owed to each Participant in respect of House Positions and
a single net amount owed by or owed to each Participant in respect of ClientRelated Positions. In such case, net amounts owed by a Participant with
respect to Client-Related Positions may be offset and netted against net
amounts owed to a Participant with respect to House Positions; provided that
net amounts owed by a Participant with respect to House Positions may not be
offset or netted against net amounts owed to a Participant with respect to
Client-Related Positions. In that case, ICE Clear Credit shall apply all amounts
collected from Participants who owe ICE Clear Credit a net amount under the
Wound-up Contracts (directly or through Margin deposited by such Participant
and other funds in or payable to the accounts of the Participant or from any
applicable guarantor, provided that Margin provided in respect of ClientRelated Positions may only be applied to the extent net amounts are owed in
respect of Client-Related Positions), plus all available amounts in the General
Guaranty Fund, to pay all net amounts owed by ICE Clear Credit to
Participants under the Wound-up Contracts, subject to the limitation of liability
set forth in Rule 312, and, to the extent the amounts owed by ICE Clear Credit
exceed the amounts available for payment, the amounts available for payment
shall be prorated based on the relative net amounts owed by ICE Clear Credit
to Participants under Wound-up Contracts. To the extent amounts available for
payment exceed the amounts owed by ICE Clear Credit, such excess shall be
applied in accordance with Rule 802(a)(iii)-(ix).
(b)
For the sake of clarity, if ICE Clear Credit and some or all of the Retiring
Participants agree to establish a new General Guaranty Fund (the “New
General Guaranty Fund”) and to have ICE Clear Credit accept for clearing
replacements for some or all of the Wound-up Contracts, the limitation of
liability set forth in Rule 312 shall continue to apply to the Wound-up Contracts,
ICE Clear Credit shall be liable only to the extent set forth in such Rule 312,
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and the New General Guaranty Fund shall not be available to satisfy any
obligations in respect of the Wound-up Contracts.
805.
ICE Clear Credit Default.
If any of the events listed in this Rule occur (an “ICE Clear Credit Default”), all Open
Positions with all Participants shall be terminated and cash settled in accordance with
Rule 804.
(a)
Failure to Pay or Deliver. Failure by ICE Clear Credit to (i) make, when due,
any payment or delivery with respect to any Participant’s Open Positions required
to be made by it (determined without regard to the limitation of liability set forth in
Rule 312) or (ii) make, when due, a contribution to the General Guaranty Fund
required of it by Rule 801 or 802, in the case of each of clauses (i) and (ii) if such
failure is not remedied on or before the third ICE Business Day after notice of
such failure is given to ICE Clear Credit by any Participant; or
(b)
Bankruptcy. ICE Clear Credit (i) is dissolved (other than pursuant to a
consolidation, amalgamation or merger); (ii) institutes a proceeding seeking a
judgment of insolvency or bankruptcy or any other relief under any bankruptcy or
insolvency law or other similar law affecting creditors’ rights, or presents a
petition for its winding-up or liquidation; (iii) has instituted against it a proceeding
seeking a judgment of insolvency or bankruptcy or any other relief under any
bankruptcy or insolvency law or other similar law affecting creditors’ rights, or a
petition is presented for its winding-up or liquidation and, in each case, such
proceeding or petition results in a judgment of insolvency or bankruptcy or the
entry of an order for relief or the making of an order for its winding-up or
liquidation; or (iv) seeks or becomes subject to the appointment of an
administrator, provisional liquidator, conservator, receiver, trustee, custodian or
other similar official for it or for all or substantially all its assets.
…
Interpretations and Policies:
.01
As used in this Chapter 8, “Participant” includes a Participant that has
had its clearing privileges suspended or revoked, or its status as a
Participant terminated, by ICE Clear Credit or whose privileges in respect
of Trades and Contracts have been restricted pursuant to Rules 203 or
207.
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9.
ARBITRATION RULES
900.
Quorum and Disqualification
(a)
The Arbitration Committee shall consist of such number of Persons as the Board
shall determine from time to time. The President shall appoint Public Directors of
the Board as the Chairman and Vice Chairman of the Arbitration Committee and
shall appoint employees of Participants and Persons who are not Participants to
the Arbitration Committee to serve until new committees are appointed. The
President may at any time remove any member of the Arbitration Committee,
with or without cause, and all vacancies shall be filled as in the case of an
original appointment. An individual shall be disqualified from taking any action as
a member of the Arbitration Committee or as an arbitrator prescribed in the
Arbitration Rules if such individual or an Affiliate has an interest in the Claim or
dispute. Any member of the Arbitration Committee may disqualify himself or
herself for any reason he or she deems appropriate. Each member of the
Arbitration Committee or arbitrator appointed to hear and determine a Claim or
grievance shall conduct himself or herself in a manner consistent with the
ABA/American Arbitration Association's "Code of Ethics for Arbitrators in
Commercial Disputes" and shall disclose to the Chairman of the Arbitration
Committee, who shall thereafter advise the parties to the arbitration, at any stage
of the arbitration, any past or present, direct or indirect financial, business,
professional, family or social relationship which is likely to affect an appearance
or which might reasonably create an appearance of partiality or bias.
(b)
If the Chairman of the Arbitration Committee is disqualified or is unavailable, the
Vice Chairman of the Arbitration Committee shall act as Chairman. If both the
Chairman and the Vice Chairman of the Arbitration Committee are disqualified or
are unavailable, the President shall appoint another member of the Arbitration
Committee, who is not affiliated with a Participant, to act as Chairman.
(c)
The lesser of a majority or three (3) members of the Arbitration Committee shall
constitute a quorum for the transaction of business. Any action taken by a vote of
the majority of the Arbitration Committee members present at a meeting at which
a quorum is present shall be deemed to be a valid action of the Arbitration
Committee.
901.
Definitions
Unless otherwise indicated, the following terms shall, for the purposes of Chapter 9 of
the Rules (the “Arbitration Rules”), have the following meanings:
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Claim or grievance
Any dispute which arises out of or relating to the clearing of Contracts subject to
the Rules by or through a Participant, which dispute does not require for
adjudication the presence of essential witnesses or third (3rd) parties over whom
ICE Clear Credit does not have jurisdiction or who are otherwise not available.
The term "Claim or grievance" shall not include (i) disputes involving matters
subject to resolution under Chapter 21 of the Rules or (ii) any claim or grievance
against ICE Clear Credit.
Non-Participant Party
Any Person with a Claim or grievance against a Participant; provided, however,
that it shall not include Participants.
Claimant
A Person who asserts a Claim pursuant to these Arbitration Rules.
Respondent
A Person against whom a Claim is asserted pursuant to these Arbitration Rules.
Clearing Organization
A derivatives clearing organization registered with the Commodity Futures
Trading Commission or a securities clearing agency registered with the
Securities and Exchange Commission.
Allowable Claim
A Claim for losses arising directly from or relating to the clearing of any Contract.
An Allowable Claim shall not include legal or other incidental expenses incurred
in connection with any such losses or with the events giving rise to any such
losses.
902.
Jurisdiction
(a)
Any Claim or grievance by a Non-Participant Party against a Participant, shall, if
the Non-Participant Party so elects, be settled by arbitration in accordance with
these Arbitration Rules unless the Claim or grievance is capable of being settled
by arbitration under the rules of a registered futures association, as defined in the
Commodity Exchange Act, or a national securities association, as defined in the
Securities Exchange Act. If such a Claim or grievance is made in accordance
with these Arbitration Rules, any counterclaim permissible under subparagraph
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(a)(ii) of Rule 903 of these Arbitration Rules shall, if asserted by such Participant,
likewise be settled by arbitration in accordance with these Arbitration Rules.
(b)
Any Allowable Claim by a Participant against another Participant, whether
originating before or during the period of time that the parties are Participants,
shall be settled by arbitration in accordance with these Arbitration Rules unless
the claim is capable of being settled by arbitration under the rules of a registered
futures association, as defined in the Commodity Exchange Act, or a national
securities association, as defined in the Securities Exchange Act. If such an
Allowable Claim is made in accordance with these Arbitration Rules, any
Allowable Claim which may be asserted as a counter-claim under subparagraph
(a)(ii) of Rule 903 shall likewise be settled by arbitration in accordance with these
Arbitration Rules. Arbitration proceedings invoked pursuant to this paragraph
shall be independent of, and shall not interfere with or delay the resolution of a
Non-Participant Party’s Claims and grievances submitted for arbitration pursuant
to paragraph (a).
(c)
All other disputes or controversies, regardless of their nature, between or among
any two (2) or more parties, shall, if agreed to by all parties involved, be settled
by arbitration in accordance with these Arbitration Rules. Arbitration proceedings
invoked pursuant to this paragraph shall be independent of, and shall not
interfere with or delay the resolution of a Non-Participant Party’s Claims and
grievances submitted for arbitration pursuant to paragraph (a).
(d)
Notwithstanding the foregoing, any Panel or, in the absence of a Panel, any three
(3) members of the Arbitration Committee appointed by the Chairman of the
Arbitration Committee, in its sole and absolute discretion, may decline to take
jurisdiction of, or, having taken jurisdiction may at any time decline to proceed
further with, any Claim or grievance or any other dispute, controversy or
counterclaim, other than such as may be asserted under paragraph (a) of this
Rule.
(e)
The commencement of an arbitration under these Rules by a Non-Participant
Party against a Participant will not in itself preclude a Participant from exercising
its rights and remedies under its agreements with a Non-Participant Party, nor
will these Arbitration Rules be deemed to permit a Non-Participant Party to obtain
any stay, injunction or similar relief that would preclude a Participant from
exercising such rights and remedies as a result of the commencement of an
arbitration under these Rules.
903.
Procedure
(a)
Claims Asserted Pursuant to Rules 902(a) and (b).
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(i)
A Person desiring to invoke the provisions of this paragraph (a) shall, within two
(2) years from the time the Claim or grievance arose, file with the ICE Clear
Credit a Notice of Arbitration. The Notice of Arbitration shall set forth the name
and address of the party or parties against whom the Claim or grievance is being
asserted, the nature and substance of the Claim or grievance, the relief
requested and the factual and legal bases alleged to underlie such relief. In the
event of a Notice of Arbitration submitted by a Non-Participant Party, such Notice
of Arbitration shall indicate whether the Non-Participant Party elects to have the
Claim or grievance heard and determined by a Mixed Panel, as provided in
subparagraph (a)(iii) of this Rule. Failure to so indicate will be deemed a waiver
of such election.
The Notice of Arbitration shall be accompanied by the Claimant's non-refundable
check payable to ICE Clear Credit in payment of the arbitration fee. The amount
of the fee shall be determined by the amount of the relief requested in the Notice
of Arbitration, as follows:
Relief Requested
Up to $100,000
$100,001 and above
(ii)
Amount of Fee
$1000
$1,000, plus 1/2% of excess over $100,000
Upon receipt, ICE Clear Credit shall promptly deliver a copy of the Notice of
Arbitration to each Respondent and to the Chairman of the Arbitration
Committee. Each Respondent shall, within twenty (20) days following the delivery
of such Notice, file an Answering Statement with the ICE Clear Credit, with a
copy to the Claimant, setting forth its position with respect to the Claimant's
Claim or grievance. Any allegation in the Notice of Arbitration not denied by a
Respondent in its Answering Statement shall be deemed admitted.
The Answering Statement may set forth one (1) or more counterclaims against
the Claimant provided that any such counterclaims (A) arise out of the Trade or
occurrence that is the subject of the Claimant's claim or grievance and (B) do not
require for adjudication the presence of essential witnesses, parties or third (3rd)
Persons over which the ICE Clear Credit does not have jurisdiction. Other
counterclaims are permissible only if the Claimant agrees to the submission
thereof after such counterclaims have arisen.
If an Answering Statement sets forth one (1) or more counterclaims, the Claimant
shall reply to such counterclaims within twenty (20) days following delivery of the
Respondent's Answering Statement. The Reply shall be filed with ICE Clear
Credit, with a copy to the Respondent involved.
(iii)
The Chairman of the Arbitration Committee, promptly after receipt by the ICE
Clear Credit of the Answering Statement, shall appoint a Panel of disinterested
Persons to hear and determine the Claim or grievance, selecting one (1) as the
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Chairman of the Panel. If the amount of relief requested is more than or equal to
$100,001, the Panel shall be composed of three (3) or more individuals. If the
amount of relief requested is less than $100,001, a sole arbitrator may be
appointed by the Chairman of the Arbitration Committee in accordance with
subparagraph (a)(viii) of the Rule. In a case where a Non-Participant Party has,
in its Notice of Arbitration, elected a Mixed Panel, at least a majority of the
Persons selected shall not be Participants, clearing participants or clearing
members or associated with any Participant, clearing participant or clearing
member of a Clearing Organization, or any employee thereof, or otherwise
associated with a Clearing Organization. Promptly following such appointment,
ICE Clear Credit shall forward copies of the Notice of Arbitration Answering
Statement and Reply, if there be one, to the Panel members selected.
(iv)
ICE Clear Credit shall notify the parties of the appointment of the members of the
Panel. Any party objecting to all or any members of the Panel shall file such
objection with the Chairman of the Arbitration Committee within ten (10) days of
the giving of such notice by ICE Clear Credit. The Chairman of the Arbitration
Committee shall then determine whether changes in the composition of the Panel
are appropriate, and if so, shall make such changes. Any vacancy occurring on
the Panel for any reason shall be filled by an individual appointed by the
Chairman of the Arbitration Committee. The parties shall be notified of the filling
of such vacancy and may file objections to the new appointee to the Panel in
accordance with the procedure set forth above.
(v)
(A)
The parties shall, within a time specified by the Chairman of the Panel,
furnish each other and the Panel with a statement listing the witnesses
expected to be called and the documents expected to be introduced into
evidence, together with copies of such documents. Unless the Panel
waives compliance with this requirement, no witness may testify and no
documentary evidence may be introduced at the hearing unless listed in
(and, in the case of documents, furnished with) such statement.
(B)
After the exchange of documents, any party may notify another party and
the Chairman of the Panel of any pertinent documents and information it
seeks from such other party that were not provided as part of the
document exchange. The other party has five (5) days to provide the
requested documents or information or object to their production. Any
objection to a request for the production of documents or other information
shall be resolved by the Chairman of the Panel, or his or her designee.
(vi)
The Panel shall establish, on not less than ten (10) days' written notice to the
parties, the date, time and place of the hearing. Each Panel shall determine the
procedures to be followed in any hearing before it, including the use of
preliminary hearings to resolve discovery disputes, simplify the issues, and
expedite the hearings, except that the following shall apply in every case:
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(A)
Each of the parties shall be entitled to appear personally at the hearing.
(B)
Each of the parties, at their own expense, shall have the right to be
represented by counsel in any aspect of the proceeding.
(C)
Each of the parties shall be entitled to (1) prepare and present all relevant
facts in support of the Claims and grievances, defenses or counterclaims,
and to present rebuttal evidence to such Claims or grievances, defenses
or counterclaims made by the other parties, (2) examine the other parties,
(3) examine any witnesses appearing at the hearing, and (4) examine all
relevant documents presented in connection with the Claim or grievance,
or any defense or counterclaim applicable thereto.
(D)
The formal rules of evidence shall not apply.
(E)
No verbatim record shall be made of the proceedings, unless requested
by a party who shall bear the cost of such record. If such a request is
made, a stenographic transcript shall be taken, but not transcribed unless
requested by a party who shall bear the cost of such transcription.
(F)
Ex parte contacts by any of the parties with members of the Panel shall
not be permitted.
(G)
The Panel shall have the power, on the request of any party or on its own
motion, to require any Person to testify and/or to produce documentary
evidence in the proceedings as and to the extent provided for in Rule 904.
(vii)
The Panel shall, within sixty (60) days of the termination of the hearing, render its
award in writing and deliver a copy thereof either in person or by first-class mail
to each of the parties. The Panel, in its award, may grant any remedy or relief
which it deems just and equitable, including, without limitation, the awarding of
interest and the arbitration fee; provided, however, that any costs incurred as a
result of having a Mixed Panel shall be borne by the Participant unless the Panel
determines that the Non-Participant Party acted in bad faith in initiating or
conducting the proceeding. The award of the Panel shall be final and binding
upon each of the parties to the arbitration, and judgment upon such award may
be entered by any court having jurisdiction. Any Participant who is a Respondent
in an arbitration conducted pursuant to the Rules shall notify the Legal
Department of ICE Clear Credit of any judicial proceeding based on the award. In
addition, any award, if not complied with within the time specified in the award,
shall be enforceable by disciplinary proceedings pursuant to Rules.
(viii)
Notwithstanding any other provision of this paragraph (a), including the right of a
Non-Participant Party to elect a Mixed Panel pursuant to Rule 903(a)(iii), if a
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Notice of Arbitration sets forth Claims or grievances aggregating less than
$100,001, and the Answering Statement submitted by the Respondent either
does not raise counterclaims or raises one (1) or more counterclaims
aggregating less than $100,001, the Chairman of the Arbitration Committee may,
on the request of any party or on his or her own motion, in his or her sole and
absolute discretion, decide that there shall not be a hearing, in which case the
following procedures shall apply:
(A)
The Chairman of the Arbitration Committee shall notify both parties that
neither the Claims or grievances nor the counterclaims, if any, aggregate
to $100,001.
(B)
The Claimant shall, within twenty (20) days of such notification, submit to
ICE Clear Credit, with a copy to each of the Respondents, a memorandum
(together with such supporting documents, affidavits and other materials
as the Claimant deems pertinent) setting forth the bases upon which he or
she believes he or she is entitled to the relief requested in the Notice of
Arbitration.
(C)
Each Respondent shall, within twenty (20) days of its or his or her receipt
of the Claimant's memorandum and supporting documentation, submit to
ICE Clear Credit, with a copy to the Claimant, a memorandum (together
with such supporting documents, affidavits and other materials as the
respondent deems pertinent) setting forth the bases upon which he or she
believes that the relief requested by the Claimant should be denied and, if
said Respondent has raised counterclaims in his or her Answering
Statement, the bases upon which he or she believes he or she is entitled
to the relief requested by such counterclaims.
(D)
The Chairman of the Arbitration Committee may, on the request of any
party or on his or her own motion, in his or her sole and absolute
discretion determine whether to allow or require the submission of reply or
additional papers, unless a Respondent has asserted one (1) or more
counterclaims, in which case the Claimant shall be entitled to reply to such
counterclaims within ten (10) days of delivery of the Respondent's
memorandum setting forth the bases thereof.
(E)
The Chairman of the Arbitration Committee or his or her designee, acting
as sole arbitrator, shall, within thirty (30) days of his or her receipt of the
final papers filed, render an award in writing and deliver a copy thereof
either in person or by first-class mail to each of the parties. The sole
arbitrator in his or her award may grant any remedy or relief which he or
she deems just and equitable, including, without limitation, the awarding of
interest and the arbitration fee; provided, however, that any costs incurred
as a result of a Non-Participant Party requesting a Mixed Panel shall be
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borne by the Participant unless the sole arbitrator determines that the
Non-Participant Party acted in bad faith in initiating or conducting the
proceeding. The decision of the sole arbitrator shall be final and binding
upon each of the parties to the arbitration, and judgment upon such award
may be entered by any court having jurisdiction. In addition, any award, if
not complied with within the time specified in the award, shall be
enforceable by disciplinary proceedings pursuant to the Rules.
(ix)
The failure of any party to an arbitration to comply with any of the requirements of
this paragraph (a), or with any demand or request of either the Panel, the sole
arbitrator or the Chairman of the Arbitration Committee shall be deemed a
violation of the Rules and shall, in addition to any other action ICE Clear Credit
may take for any such violation, subject such party to such action by the Panel,
the sole arbitrator or the Chairman of the Arbitration Committee (including without
limitation the entry of an award against such party) as it or he or she shall deem
appropriate under the circumstances.
(x)
Notwithstanding the provisions of subparagraph (x) of this paragraph (a), either
the Panel, the sole arbitrator or the Chairman of the Arbitration Committee, may
for good cause shown extend any time limitation imposed by this paragraph (a)
(except the two (2) year and the thirty (30) day limitation periods set forth in
subparagraph (a)(i)) or may excuse any neglect to comply therewith or with any
other requirement of this paragraph (a) or demand or request of the Panel, the
sole arbitrator or the Chairman of the Arbitration Committee.
(b)
Other Claims Asserted Pursuant to Rule 902(c).
(i)
Any dispute or controversy between or among any two (2) or more parties may, if
all of the parties to such dispute or controversy so agree, be settled by arbitration
in accordance with this paragraph (b). Such dispute or controversy shall be heard
and determined in accordance with the procedures set forth in paragraph (a) of
this Rule, except for the following:
(A)
In lieu of the procedure set forth in the first sentence of subparagraph (i) of
paragraph (a), the provisions of this paragraph (b) shall be invoked by the
submission by all of the parties concerned of an agreement to submit the
dispute or controversy to arbitration in accordance with this paragraph (b)
and to be bound by the award of the arbitrators. Following such
submission, ICE Clear Credit shall forward to the party requesting relief
the information set forth in subparagraph (i) of paragraph (a) of this Rule,
whereupon all of the other procedures set forth in said subparagraph (i) of
paragraph (a) shall apply.
(B)
None of the limitations on counterclaims set forth in subparagraph (ii) of
paragraph (a) shall apply.
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904.
Withdrawal of Claims
Any Notice of Arbitration may be withdrawn at any time before an Answering Statement
is filed in accordance with these Rules.
If an Answering Statement has been filed, any withdrawal shall require consent of the
party against which the Claim or grievance is asserted.
905.
Modification of Award
On written application to the Legal Department of ICE Clear Credit by a party to an
arbitration, within twenty (20) days after delivery of the award to the applicant, the Panel
or sole arbitrator may modify the award if:
(1)
there was a miscalculation of figures or a mistake in the description of any
Person, thing, or property referred to in the award; or
(2)
the Panel or sole arbitrator has awarded upon a matter not submitted to it
and the award may be corrected without affecting the merits of the
decision upon the issues submitted; or
(3)
the award is imperfect in a matter of form, not affecting the merits of the
controversy.
Written notice of the application shall be given to the other parties to the arbitration.
Written objection to the modification must be served on ICE Clear Credit and the other
parties to the arbitration within ten (10) days of receipt of the application. The Panel or
sole arbitrator shall dispose of any application made under this Rule in writing, signed
and acknowledged by the Panel or sole arbitrator, within thirty (30) days after either
written objection to the modification has been served on it or the time for serving said
objection has expired, whichever is earlier. The parties may in writing extend the time
for such disposition either before or after its expiration.
906.
Compensation of Arbitrators
The parties to an arbitration shall pay the arbitrators appointed in each matter
compensation in accordance with such fee schedule as the Board may from time to time
determine. The arbitrators in each such matters shall determine the proportion in which
such compensation shall be paid by each of the parties.
907.
Failure to Comply With Award
(a)
Any Participant in whose favor an award has been rendered pursuant to this
Chapter shall promptly notify the Legal Department of ICE Clear Credit, in
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writing, if the award is not complied with. Any Participant, who fails to comply with
the terms of an award rendered against such Participant, shall be subject to the
procedures set forth in this Rule. Specifically, upon receipt of a notice or
information indicating that a Participant has failed to comply with the terms of an
award rendered against such Participant, ICE Clear Credit shall notify such
Participant against whom or which the award was rendered of ICE Clear Credit’s
intention to suspend its privileges as a Participant and afford the Participant an
opportunity to be heard by a panel of the Arbitration Committee appointed by the
Chairman for the sole purpose of proving that the award has been satisfied,
provided that the Legal Department of ICE Clear Credit receives a written
request from the Participant for such a hearing within five (5) Business Days after
receipt of such notice by the Participant. Failure to so request such a hearing
shall be deemed an acknowledgment by the Participant that the award has not
been complied with. Any such hearing shall be conducted in accordance with
such procedures as the Panel shall determine. The Panel shall consist of no less
than three (3) members of the Arbitration Committee. Following any such
hearing, the Panel shall determine whether the Participant has failed to timely
satisfy the award and shall promptly advise ICE Clear Credit, and all parties in
the proceeding, of its determination.
(b)
If the Panel shall find, or if a Participant shall acknowledge that it has failed to
comply with any award rendered pursuant to this Chapter when and as provided
by such award, the Participant may be suspended, as provided in Rule 615(b)
and shall remain suspended until the award is complied with and the suspended
Participant is reinstated.
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10-19. [RESERVED]
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20.
CREDIT DEFAULT SWAPS
The rules in this Chapter 20 apply to the clearance of CDS Contracts.
20-102.
Definitions.
2003/2014 Changeover Effective Date
October 6, 2014 (or such later date as may be designated by ICE Clear Credit by
Circular).
2003 Definitions
The 2003 ISDA Credit Derivatives Definitions, as supplemented by the 2005
Matrix Supplement and the July 2009 Supplement, each as published by ISDA.
In the event of any inconsistency between the terms of the July 2009 Supplement
and the terms of any other portion of the 2003 Definitions, the terms of the July
2009 Supplement will govern for purposes of the relevant Contract.
2003-Type CDS Contract
A CDS Contract incorporating the 2003 Definitions; provided that in the case of
an index CDS Contract, a 2003-Type CDS Contract shall mean a Component
Transaction thereof incorporating the 2003 Definitions.
2005 Matrix Supplement
The “2005 Matrix Supplement to the 2003 ISDA Credit Derivatives Definitions”
(published on March 7, 2005), as published by ISDA.
2005 Monoline Supplement
The “Additional Provisions for Physically Settled Default Swaps – Monoline
Insurer as Reference Entity” (published on January 21, 2005), as published by
ISDA.
2014 Definitions
The 2014 ISDA Credit Derivatives Definitions, as published by ISDA.
2014-Type CDS Contract
A CDS Contract incorporating the 2014 Definitions; provided that in the case of
an index CDS Contract, a 2014-Type CDS Contract shall mean a Component
Transaction thereof incorporating the 2014 Definitions.
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Applicable Credit Derivatives Definitions
With respect to a 2014-Type CDS Contract, the 2014 Definitions, and with
respect to a 2003-Type CDS Contract, the 2003 Definitions, in each case as
identified in the relevant List of Eligible Reference Entities, pursuant to the terms
of the submitted Contract or otherwise in a manner to be specified by ICE Clear
Credit.
CDS Committee Rules
The rules set forth in Chapter 21. Any reference to a particular CDS Committee
Rule shall be a reference to the relevant rule in Chapter 21.
CDS Committee-Eligible Participant
Any CDS Participant that has been approved by the Board or its designee, after
consultation with the Risk Committee, for participation in one or more Regional
CDS Committees under the CDS Committee Rules and in the CDS Default
Committee. The Board or its designee, after consultation with the Risk
Committee, may revoke (or reinstate) its approval from time to time based on its
determination as to whether a particular CDS Participant has been in compliance
with these Rules and the ICE Clear Credit Procedures.
CDS Contract
A credit default swap transaction accepted for clearing that meets the criteria
established under these Rules. A CDS Contract is a Contract for purposes of
Chapter 1 of these Rules.
CDS Participant
A Participant that has been approved by ICE Clear Credit for the submission of
CDS Contracts.
CDS Physical Settlement Rules
The rules set forth in Chapter 22 of these Rules. Any reference to a particular
CDS Physical Settlement Rule shall be a reference to the relevant rule in
Chapter 22 of these Rules.
CDS Region
A region for which CDS Contracts are cleared by ICE Clear Credit, as
determined by the Board or its designee, after consultation with the Risk
Committee.
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CDS Regional Business Day
With respect to a CDS Region, any day determined in accordance with the
location and other parameters designated by the Board or its designee as a day
on which the business of clearing CDS Contracts may occur in the particular
CDS Region.
CDS Restructuring Rules
Subchapter 26E of the Rules.
Converting Contracts
Contracts converted as of the 2003/2014 Changeover Effective Date into 2014Type CDS Contracts (including index CDS Contracts that have one or more
component transactions converted as of such date into 2014-Type CDS
Contracts) as set forth herein, as specified in a list maintained by ICE Clear
Credit on its website as of such time.
DC Rules
The Credit Derivatives Determinations Committees Rules as published by ISDA,
as in effect from time to time.
ISDA
The International Swaps and Derivatives Association, Inc., or any successor
thereto.
July 2009 Supplement
The 2009 ISDA Credit Derivatives Determinations Committees, Auction
Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives
Definitions, as published by ISDA on July 14, 2009.
Open CDS Positions
A CDS Participant’s Open Positions in CDS Contracts.
20-103.
Interpretation Relating to Index CDS Contracts.
Index CDS Contracts comprise a number of separate Component Transactions, each of
which may, subject to the Rules, be a 2003-Type CDS Contract or a 2014-Type CDS
Contract. Where there is a distinction in the application of the Rules or ICE Clear Credit
Procedures or the Applicable Credit Derivatives Definitions as between a 2003-Type
CDS Contract and a 2014-Type CDS Contract, the Rules and ICE Clear Credit
Procedures and Applicable Credit Derivatives Definitions, as applicable, shall apply
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separately to each such Component Transaction that is a 2003-Type CDS Contract or
2014-Type CDS Contract, respectively.
20-402.
ICE Clear Credit Lien.
In addition to the lien described in Rule 402(b), each CDS Participant hereby grants ICE
Clear Credit, acting on behalf of the relevant Buyer, a continuing lien and security
interest in and to all of such CDS Participant’s right, title and interest, whether now
owned or existing or hereafter acquired or arising, in and to all Buyer Allocated
Collateral (as defined in Rule 2204(b)) as security for all obligations of such CDS
Participant to such Buyer under all Allocated CDS Contracts (as defined in Rule
2203(a)) between such CDS Participant and such Buyer.
20-605.
(a)
CDS Participant Default.
ICE Clear Credit may determine, subject to paragraph (g) of this Rule, that a
CDS Participant is in “Default” if such CDS Participant (i) fails to meet, or
appears, in the judgment of ICE Clear Credit, likely to fail to meet, any of the
CDS Participant’s obligations (other than an obligation to Transfer Margin) with
respect to, or is otherwise in default or subject to early termination under, the
CDS Participant’s Contracts with ICE Clear Credit, (ii) fails to Transfer Margin
(whether Initial Margin or Mark-to-Market Margin) by the deadline established
under these Rules, (iii) is suspended or expelled or whose privileges are revoked
by a Market or by ICE Clear Credit, subject to the requirements of Rule 615(b), or
(iv) has a guarantor providing a guarantee pursuant to Rule 205 who fails to
meet, or appears, in the judgment of ICE Clear Credit, likely to fail to meet, any
obligations with respect to, or who is otherwise in default under, the guarantee. If
“Automatic Early Termination” is specified as applying to a CDS Participant under
its Participant Agreement, then all Open CDS Positions of such CDS Participant
shall be immediately terminated as follows (or as otherwise specified in its
Participant Agreement): (A) as of the time such CDS Participant is (i) is dissolved
(other than pursuant to a consolidation, amalgamation or merger); (ii) makes a
general assignment, arrangement or composition with or for the benefit of its
creditors; (iii) has a resolution passed for its winding-up, official management or
liquidation (other than pursuant to a consolidation, amalgamation or merger); (iv)
seeks or becomes subject to the appointment of an administrator, provisional
liquidator, conservator, receiver, trustee, custodian or other similar official for it or
for all or substantially all its assets; or (v) causes or is subject to any event with
respect to it which, under the applicable laws of any jurisdiction, has an
analogous effect to any of the events specified in clauses (i) to (iv) above; or (B)
as of the time immediately preceding the institution of the relevant proceeding or
the presentation of the relevant petition if such Participant (i) institutes or has
instituted against it, by a regulator, supervisor or any similar official with primary
insolvency, rehabilitative or regulatory jurisdiction over it in the jurisdiction of its
incorporation or organization or the jurisdiction of its head or home office, a
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proceeding seeking a judgment of insolvency or bankruptcy or any other relief
under any bankruptcy or insolvency law or other similar law affecting creditors’
rights, or a petition is presented for its winding-up or liquidation by it or such
regulator, supervisor or similar official, or (ii) has instituted against it a proceeding
seeking a judgment of insolvency or bankruptcy or any other relief under any
bankruptcy or insolvency law or other similar law affecting creditors’ rights, or a
petition is presented for its winding-up or liquidation or (iii) causes or is subject to
any event with respect to it which, under the applicable laws of any jurisdiction,
has an analogous effect to any of the events specified in clauses (i) or (ii) above,
and the occurrence of any such termination of Open CDS Positions shall
automatically constitute a Default (an “Automatic Default”). Upon a Default, ICE
Clear Credit may effect the Closing-out Process with respect to such CDS
Participant (the “Defaulting CDS Participant”) as provided in these Rules as
deemed appropriate by ICE Clear Credit, and any debit balance owing to ICE
Clear Credit shall be immediately due and payable. For purposes of clause (a)(i)
or (iv), and without limiting the generality thereof, ICE Clear Credit may rely on
any of the following to demonstrate that a CDS Participant or a guarantor
appears likely to fail to meet its obligations to ICE Clear Credit:
(A)
the CDS Participant or guarantor is in breach of the terms of membership
or the rules or regulations of, or is refused an application for or is
suspended or expelled from membership of, any Market or any other
exchange, market or clearing house;
(B)
the CDS Participant or guarantor is in breach of the terms of membership
of, or is refused an application for or is suspended or expelled from
membership of, any regulatory, self-regulatory or other entity or
organization with regulatory authority, whether governmental or otherwise
(a “Regulatory Body”) or is in breach of the rules or regulations of a
Regulatory Body to which it is subject or its authorization by a Regulatory
Body is suspended or withdrawn;
(C)
a Regulatory Body takes or threatens to take action against or in respect
of the CDS Participant or guarantor under any statutory provision or
process of law;
(D)
the CDS Participant or guarantor (1) is dissolved (other than pursuant to a
consolidation, amalgamation or merger); (2) becomes insolvent or is
unable to pay its debts or fails or admits in writing its inability generally to
pay its debts as they become due; (3) makes a general assignment,
arrangement or composition with or for the benefit of its creditors; (4)(A)
institutes or has instituted against it, by a regulator, supervisor or any
similar official with primary insolvency, rehabilitative or regulatory
jurisdiction over it in the jurisdiction of its incorporation or organization or
the jurisdiction of its head or home office, a proceeding seeking a
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judgment of insolvency or bankruptcy or any other relief under any
bankruptcy or insolvency law or other similar law affecting creditors’ rights,
or a petition is presented for its winding-up or liquidation by it or such
regulator, supervisor or similar official, or (B) has instituted against it a
proceeding seeking a judgment of insolvency or bankruptcy or any other
relief under any bankruptcy or insolvency law or other similar law affecting
creditors’ rights, or a petition is presented for its winding-up or liquidation;
(5) has a resolution passed for its winding-up, official management or
liquidation (other than pursuant to a consolidation, amalgamation or
merger); (6) seeks or becomes subject to the appointment of an
administrator, provisional liquidator, conservator, receiver, trustee,
custodian or other similar official for it or for all or substantially all its
assets; (7) has a secured party take possession of all or substantially all
its assets or has a distress, execution, attachment, sequestration or other
legal process levied, enforced or sued on or against all or substantially all
its assets and such secured party maintains possession; (8) causes or is
subject to any event with respect to it which, under the applicable laws of
any jurisdiction, has an analogous effect to any of the events specified in
clauses (l) to (7) above (inclusive); or (9) takes any action in furtherance
of, or indicating its consent to, approval of, or acquiescence in, any of the
foregoing acts;
(b)
(E)
the CDS Participant or guarantor fails to pay any sum due and payable, or
is otherwise in default under the terms of any agreement or threatens to
suspend payment or to default under the terms of any agreement, in each
case other than (i) where such payment or other relevant obligation is the
subject of a good faith dispute by the CDS Participant or guarantor or (ii)
where such failure or default is the result of an administrative or
operational error on the part of the CDS Participant or guarantor and the
relevant party had the financial ability to make the relevant payment or
perform the relevant obligation at the time due;
(F)
any distress, execution or other process is levied or enforced or served
upon or against any property of the CDS Participant or guarantor; and
(G)
any representation made or repeated or deemed to have been made or
repeated by the CDS Participant or guarantor hereunder or under its
Participant Agreement (other than a representation made under Section
29.3.1 or 29.3.3 of the Participant Agreement) provides to have been
incorrect or misleading in any material respect when made or repeated or
deemed to have been made or repeated.
If ICE Clear Credit determines to effect the Closing-out Process, ICE Clear Credit
shall (i) convene the CDS Default Committee for purposes of making
recommendations as to any Initial Cover Transactions referred to in paragraph
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(c)(ii) of this Rule and the appropriate auction or other process referred to in
paragraph (c)(vi) of this Rule and related Minimum Target Price(s) and (ii)
provide notice of such Default, including the identity of the Defaulting CDS
Participant, as soon as reasonably practicable (but in any event before ICE Clear
Credit executes any transactions described in paragraph (c) of this Rule) to the
CDS Participants and to the public generally, through a press release or in
another manner determined by ICE Clear Credit.
(c)
In effecting the Closing-out Process as provided in paragraph (a) of this Rule,
ICE Clear Credit shall, without limiting the generality of paragraph (a) of this
Rule, have the right, in consultation with the CDS Default Committee:
(i)
(A)
With respect to the Open CDS Positions that are Client-Related
Positions in any account of such Defaulting CDS Participant, to liquidate,
set off and/or apply the following resources, in the following order, to cover
any amounts paid by ICE Clear Credit in closing or replacing such ClientRelated Positions or any related Initial Cover Transactions (or in making
payments or providing Mark-to-Market Margin to other Participants in
respect of corresponding positions), including any commissions, losses,
costs or expenses incurred in connection therewith or in connection with
the liquidation of applicable Margin applied thereto pursuant to this
subclause :
(a)
any proceeds received by ICE Clear Credit from closing or
replacing such Client-Related Positions or any related Initial
Cover Transactions,
(b)
any Mark-to-Market Margin provided to ICE Clear Credit with
respect to such Client-Related Positions,
(c)
Initial Margin provided to ICE Clear Credit with respect to
such Client-Related Positions; provided that Initial Margin
allocated to a particular Non-Participant Party Portfolio and
proceeds thereof shall only be used to satisfy obligations to
ICE Clear Credit in respect of the Client-Related Positions in
such Non-Participant Party Portfolio, in accordance with
CFTC Rule 22.15; provided, further, that where ICE Clear
Credit owes a net payment or Mark-to-Market Margin
obligation to another Participant in respect of positions
corresponding to Client-Related Positions of the defaulting
Participant, ICE Clear Credit shall be entitled to apply the
Initial Margin allocated to each Non-Participant Party
Portfolio that owes a corresponding payment or Mark-toMarket obligation to ICE Clear Credit up to the amount of
such payment or obligation,
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(d)
any payments actually received by ICE Clear Credit from or
on behalf of the relevant Non-Participant Party under or in
respect of the Client-Related Positions in its Non-Participant
Party Portfolio,
(e)
any property or proceeds thereof deposited with or held by
ICE Clear Credit as Margin for such Defaulting Participant’s
House Positions,
(f)
the Defaulting Participant’s Required Contribution and
Specific WWR Guaranty Fund Contribution, if any, to the
General Guaranty Fund as provided in Rule 802, and
(g)
any other property of or delivered by the Defaulting CDS
Participant (other than Margin for Client-Related Positions)
within the possession or control of ICE Clear Credit (whether
or not related to Open CDS Positions).
For purposes of the foregoing, ICE Clear Credit may, in its
discretion use assets available pursuant to clause (e)-(g) prior to
receipt of proceeds due pursuant to clauses (b)-(d), provided that
any proceeds subsequently received pursuant to clauses (b)-(d) (to
the extent not applied by ICE Clear Credit) will be used to
reimburse the sources of such other assets . For the avoidance of
doubt, the provisions of this clause (c)(i)(A) will not apply to ClientRelated Positions transferred to or replaced with a Replacement
Participant without loss to ICE Clear Credit pursuant to Rule 20A02;
(B) With respect to the Open CDS Positions that are House Positions in
any account of such Defaulting CDS Participant, to liquidate, set off and/or
apply the following resources, in the following order, to cover any amounts
paid by ICE Clear Credit in closing or replacing such House Positions or
any related Initial Cover Transactions (or in making payments or providing
Mark-to-Market Margin to other Participants in respect of corresponding
positions), including any commissions, losses, costs or expenses incurred
in connection therewith or in connection with the liquidation of applicable
Margin applied thereto pursuant to this subclause, and any other
obligations of the Defaulting CDS Participant to ICE Clear Credit, including
any obligations arising from any other accounts maintained by the
Defaulting CDS Participant with ICE Clear Credit:
(a)
any proceeds received by ICE Clear Credit from closing or
replacing such House Positions or any related Initial Cover
Transactions,
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(b)
any property or proceeds thereof deposited with or held by
ICE Clear Credit as Margin for such Defaulting Participant’s
House Positions,
(c)
the Defaulting Participant’s Required Contribution and
Specific WWR Guaranty Fund Contribution, if any, to the
General Guaranty Fund as provided in Rule 802, and
(d)
any other property of or delivered by the Defaulting CDS
Participant within the possession or control of ICE Clear
Credit (whether or not related to Open CDS Positions), other
than any property or proceeds thereof deposited with or held
by ICE Clear Credit as Margin for such Defaulting
Participant’s Client-Related Positions (including any amounts
in the Client Omnibus Margin Account);
(C) Notwithstanding the foregoing, to the extent any (i) property or
proceeds thereof deposited with or held by ICE Clear Credit as Margin for
such Defaulting Participant’s House Positions or (ii) any other property of
or delivered by the Defaulting CDS Participant within the possession or
control of ICE Clear Credit, whether or not related to Open CDS Positions
(other than any property or proceeds thereof deposited with or held by ICE
Clear Credit as Margin for such Defaulting Participant’s Client-Related
Positions and the Defaulting Participant’s Required Contribution to the
General Guaranty Fund as provided in Rule 802) is to be applied pursuant
to both clauses (A) and (B) above, such property shall be applied first
pursuant to clause (B) above in respect of House Positions until the
relevant obligations are satisfied and thereafter pursuant to clause (A)
above in respect of Client-Related Positions. The Defaulting Participant’s
Required Contribution to the General Guaranty Fund shall be applied as
provided in Rule 802.
(ii)
If ICE Clear Credit determines it is appropriate to an orderly unwind of the
Open CDS Positions of the Defaulting CDS Participant or to mitigate
damages to ICE Clear Credit and the other CDS Participants caused by
the Default, to enter into, as part of the Closing-out Process, transactions
with CDS Participants with respect to the Open CDS Positions of the
Defaulting CDS Participant that have been determined by the CDS Default
Committee, pursuant to the ICE Clear Credit Procedures, as designed to
achieve this purpose (“Initial Cover Transactions”);
(iii)
In exercising any of its rights of setoff or otherwise as necessary
hereunder, to designate the currency of payments to be made by or to ICE
Clear Credit in effecting the Closing-out Process and to convert payments
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made by or to ICE Clear Credit into a currency and at a rate of exchange
as it shall determine;
(iv)
To cause Open CDS Positions of the Defaulting CDS Participant and, to
the extent of any remaining imbalance, of other CDS Participants, or any
portion thereof, to be offset against each other and/or to be settled at the
Mark-to-Market Price for such Contracts, or at such other price or prices
reflecting the current market as ICE Clear Credit, in consultation with the
CDS Default Committee in accordance with the ICE Clear Credit
Procedures, may deem fair and reasonable in the circumstances;
(v)
To take any action or refrain from taking any action on behalf of the
Defaulting CDS Participant with respect to any Open CDS Position of the
Defaulting CDS Participant, which, in the judgment of ICE Clear Credit
and subject to the terms of the relevant CDS Contract and applicable law,
would be advisable to preserve the value of such Open CDS Position,
including, without limitation, exercising any rights or remedies therein;
tendering or accepting for tender any securities, loans or other obligations;
making or receiving any payments; making or providing any election or
notice or otherwise performing any other act or obligation contemplated
therein;
(vi)
Subject to Rule 20A-02, if applicable, to enter into Trades with other CDS
Participants that replace or mitigate the risk of all or part of the Open CDS
Positions of the Defaulting CDS Participant and any Initial Cover
Transactions, pursuant to one or more auctions or other process
established taking into account recommendations of the CDS Default
Committee, but any such Trades shall not be at a price less favorable to
ICE Clear Credit than a target price (a “Minimum Target Price”) for all or
a portion of the Open CDS Positions of the Defaulting CDS Participant
and any Initial Cover Transactions with respect thereto, established by
ICE Clear Credit in consultation with the CDS Default Committee and
taking into account the results of any prior auctions, which shall be the
least favorable price that would be, in the judgment of ICE Clear Credit,
reasonable to accept for such Trades;
(vii)
To the extent that ICE Clear Credit does not enter into Trades that replace
or otherwise close all of the Open CDS Positions of the Defaulting CDS
Participant and all Initial Cover Transactions (if any), to enter into Trades
with other CDS Participants (who shall be obligated to enter into such
Trades in accordance with this subparagraph and to submit, in
accordance with the ICE Clear Credit Procedures, the terms of such
Trades with ICE Clear Credit to Deriv/SERV or another service specified
by ICE Clear Credit) that replace any remaining Open CDS Positions of
the Defaulting CDS Participant and any remaining Initial Cover
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Transactions at a price (the “Allocation Price”) reflecting the current
market as determined by ICE Clear Credit in consultation with the CDS
Default Committee in accordance with the ICE Clear Credit Procedures,
taking into account the Minimum Target Price (as adjusted by ICE Clear
Credit in consultation with the CDS Default Committee for market changes
from the time of the initial determination of the Minimum Target Price to
the time such Trades are entered into) on a pro rata basis (or as near as
practicable, with odd lots determined by ICE Clear Credit and assigned
randomly) in proportion to the size of each CDS Participant’s Required
Contribution to the General Guaranty Fund relative to the aggregate of the
Required Contributions to the General Guaranty Fund of all CDS
Participants other than the Defaulting CDS Participant. For the avoidance
of doubt, ICE Clear Credit shall not be permitted to enter into a Trade with
a CDS Participant pursuant to this clause (vii), and a CDS Participant will
not be obligated to enter into any such Trade, unless ICE Clear Credit
pays to the CDS Participant the applicable Allocation Price, if any, owed to
such CDS Participant for entering into such Trade, and accordingly
following exhaustion of the General Guaranty Fund (including any
additional Collateral deposit pursuant to Rule 802(d)), no Trades will be
entered into pursuant to this subclause (vii);
(d)
(viii)
To defer the Closing-out Process if, in its discretion, it determines that the
Closing-out Process would not be in the best interests of ICE Clear Credit
or other CDS Participants, taking into account the size and nature of the
positions in question, market conditions prevailing at the time, the potential
market effects of such liquidating transactions as might be directed by ICE
Clear Credit, and such other circumstances as it deems relevant; and
(ix)
For the purposes of entering into Initial Cover Transactions or other
Trades with CDS Participants pursuant to this Rule, notwithstanding
anything to the contrary in Rules 301 or 303, to make and receive “Initial
Payments” with respect to such Trades; and
(x)
To take any other action as ICE Clear Credit may deem necessary or
appropriate for its protection.
ICE Clear Credit shall effect the Closing-out Process separately in respect of
Open CDS Positions that are Client-Related Positions and House Positions, and
notwithstanding anything to the contrary herein but subject to the following
sentence, Client-Related Positions and House Positions may not be netted or
offset against each other as part of the Closing-out Process. Net amounts owed
by a Defaulting Participant with respect to Client-Related Positions may be offset
against net amounts owed to a Defaulting Participant with respect to House
Positions; provided that net amounts owed by a Defaulting Participant with
respect to House Positions may not be offset against net amounts owed to a
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Defaulting Participant with respect to Client-Related Positions. With respect to
Client-Related Positions, the Closing-out Process shall be subject to the Default
Portability Rules set forth in Rule 20A-02, if applicable. To the extent the Closingout Process in respect of Client-Related Positions results in an amount owed by
ICE Clear Credit to the Defaulting Participant, such amount will be credited to the
Client Omnibus Margin Account for distribution as provided in subsection (k)
below. Amounts recovered by or on behalf of ICE Clear Credit from a NonParticipant Party of a Defaulting Participant in respect of Client-Related Positions
will be similarly be credited to the Client Omnibus Margin Account for application
pursuant to clause (c)(i)(A) above. In effecting the Closing-out Process and/or the
Default Portability Rules for Client-Related Positions (including the application of
Margin posted in connection therewith under the Rules), ICE Clear Credit shall
be entitled to rely conclusively on the allocation of Client-Related Positions to
Non-Participant Party Portfolios, and the allocation of Margin to such Portfolios,
as set forth in the books and records of ICE Clear Credit from time to time in
accordance with CFTC Rule 22.15 (absent manifest error by ICE Clear Credit in
making such allocation based on accurate information provided to ICE Clear
Credit), without need for further inquiry by ICE Clear Credit as to the origin,
source or ownership of any such Margin.
Without limiting ICE Clear Credit’s rights under the preceding sentence, if ICE
Clear Credit applies Initial Margin allocated to a particular Non-Participant Party
Portfolio pursuant to Rule 20-605(c)(i)(A)(c) above and subsequently determines
that such Initial Margin was not the property of the relevant Non-Participant Party
or the Defaulting CDS Participant (a “Reviewed Application”), ICE Clear Credit
will seek, to the extent permitted by law, to apply any House Margin or Guaranty
Fund Contribution of the Defaulting CDS Participant remaining after completion
of the Closing-out Process to reimburse the Client Omnibus Margin Account up
to the amount of the Reviewed Application. ICE Clear Credit shall have no
obligation to rescind or otherwise refund any Reviewed Application or to apply
any other assets (including, without limitation, any other assets in the Guaranty
Fund) to any reimbursement pursuant to the preceding sentence.
(e)
In taking any action hereunder, ICE Clear Credit may cooperate, by sharing
information or in any other manner it determines appropriate, with any Regulatory
Body having jurisdiction over ICE Clear Credit or the Defaulting CDS Participant
or its guarantor.
(f)
ICE Clear Credit may appoint any person to take or assist it in taking any action
that it is allowed to take under this Rule.
(g)
(i)
Before making any determination that a CDS Participant is in Default
pursuant to paragraph (a) of this Rule, in the case of determinations under
clause (i)(B)(z) and subparagraph (i)(C) of this paragraph (g) with respect
to a Participant, ICE Clear Credit shall use its best efforts to consult with
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the Risk Committee, and, in the case of determinations under clauses
(i)(B)(x) and (y) of this paragraph (g) with respect to any Participant, shall
provide notice to the staff of the CFTC and SEC. A determination by ICE
Clear Credit that a CDS Participant is in Default pursuant to paragraph (a)
shall require:
(A)
the decision of an Eligible Officer in the event the relevant Default is
that such CDS Participant (1) is dissolved (other than pursuant to a
consolidation, amalgamation or merger); (2) institutes or has
instituted against it, by a regulator, supervisor or any similar official
with primary insolvency, rehabilitative or regulatory jurisdiction over
it in the jurisdiction of its incorporation or organization or the
jurisdiction of its head or home office, a proceeding seeking a
judgment of insolvency or bankruptcy or any other relief under any
bankruptcy or insolvency law or other similar law affecting creditors’
rights, or a petition is presented for its winding-up or liquidation by it
or such regulator, supervisor or similar official; (3) has instituted
against it a proceeding seeking a judgment of insolvency or
bankruptcy or any other relief under any bankruptcy or insolvency
law or other similar law affecting creditors’ rights, or a petition is
presented for its winding-up or liquidation and, in each case, such
proceeding or petition results in a judgment of insolvency or
bankruptcy or the entry of an order for relief or the making of an
order for its winding-up or liquidation; or (4) seeks or becomes
subject to the appointment of an administrator, provisional
liquidator, conservator, receiver, trustee, custodian or other similar
official for it or for all or substantially all its assets;
(B)
the decision of an Eligible Officer with the consent of either (1) the
Chairman of the Board, if not an employee of such CDS Participant
or any Affiliate or (2) any two members of the Board who are not
employees of such CDS Participant or any Affiliate (such consent,
“Minimum Manager Approval”) in the event the relevant Default is
that such CDS Participant has failed to (x) meet any of such CDS
Participant’s payment or delivery obligations (including Collateral
obligations, but excluding obligations to Transfer Margin) with
respect to such CDS Participant’s Contracts with ICE Clear Credit,
(y) Transfer Margin (whether Initial Margin or Mark-to-Market
Margin) by the deadline established under these Rules or (z)
comply with a Trading Activity Limitation (as defined in Rule 203) or
a limitation imposed under Rule 207(a)(i); or
(C)
approval of the Board by a two-thirds majority of those voting, in a
vote excluding members who are employees of such CDS
Participant or any Affiliate and with a quorum of at least fifty percent
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of the members of the Board, in the event the relevant Default is
any other circumstance which may, pursuant to paragraph (a),
constitute a Default by such CDS Participant, excluding any
Automatic Default.
(ii)
Any right or determination, other than a determination referred to in
paragraph (g)(i) of this Rule, that is granted to or required of ICE Clear
Credit pursuant to this Rule, shall be exercised or made, as applicable,
upon a majority vote of the Board, provided that any such right or
determination may be exercised or made, as applicable, by (A) any person
so authorized by the Board or (B) an Eligible Officer with Minimum
Manager Approval if such Eligible Officer believes in good faith that such
exercise or determination requires immediate action to avoid a material
risk to ICE Clear Credit, the Defaulting CDS Participant or the remaining
CDS Participants. In addition, without limiting the foregoing or paragraph
(f) of this Rule, ICE Clear Credit may, in a particular case or in general,
delegate to the CDS Default Committee the authority to determine the
appropriateness of entering into Initial Cover Transactions, to enter into
Initial Cover Transactions on behalf of ICE Clear Credit, to determine and
thereafter adjust any Minimum Target Prices, and/or to determine how
prudently to unwind the Open CDS Positions of a Defaulting CDS
Participant and the related Initial Cover Transactions, if any.
(h)
Any obligation of ICE Clear Credit to a Defaulting CDS Participant arising from an
Open CDS Position or from any provision of these Rules shall be subject to all
the terms of the Rules, including the setoff and other rights set forth herein. The
rights of ICE Clear Credit set forth herein shall be in addition to other rights that
ICE Clear Credit may have under applicable law and governmental regulations,
other provisions of the Rules and additional agreements with the Defaulting CDS
Participant, or any other source.
(i)
A Defaulting CDS Participant shall take no action, including but not limited to
attempting to obtain a court order, that could interfere with the ability of ICE Clear
Credit to take any action contemplated by this Rule, including, without limitation,
to liquidate, set off and/or apply such Defaulting CDS Participant’s Open CDS
Positions, Margin or other property held by ICE Clear Credit, pursuant to these
Rules or (ii) to set off amounts owed to such Defaulting CDS Participant against
such Defaulting CDS Participant’s Obligations.
(j)
If there is an Automatic Default, then ICE Clear Credit shall exercise its rights
under this Rule in a manner consistent with the fact that all Open CDS Positions
have automatically terminated in determining a single early termination amount in
respect of Client-Related Positions and a single early termination amount in
respect of House Positions, in each case payable by either ICE Clear Credit or
the Defaulting CDS Participant pursuant to the Closing-out Process.
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(k)
Upon the occurrence of a Default with respect to a CDS Participant that is an
FCM or a Broker Dealer and completion of the Closing-out Process with respect
thereto, ICE Clear Credit will return to the receiver, trustee or other applicable
insolvency practitioner for such CDS Participant the amounts remaining in the
Client Omnibus Margin Account (or the proceeds thereof) for distribution or
application as provided by law.
20-617.
CDS Default Committee.
(a)
ICE Clear Credit shall maintain a committee, governed by these Rules,
responsible for taking certain actions provided in Rule 20-605 and Rule 20A-02
and the ICE Clear Credit Procedures upon the Default of a CDS Participant and
as otherwise provided pursuant to these Rules (the “CDS Default Committee”).
The CDS Default Committee shall be comprised of not more than three CDS
Committee-Eligible Participants designated in accordance with Rule 20-617(b)
(each, a “CDS Default Committee Participant”). Each CDS Default Committee
Participant shall designate an employee of it or one of its Affiliates with credit
default swap trading experience (an “Eligible Employee”) to serve as its
representative on the CDS Default Committee, along with one or more alternates
in the event the designated employee is not available on a timely basis (the
designated employee or alternate, as applicable, a “CDS Default Committee
Member”). A CDS Default Committee Participant may replace its designated
CDS Default Committee Member or alternate(s) with an Eligible Employee from
time to time by notice to ICE Clear Credit.
(b)
ICE Clear Credit shall randomly order all CDS Committee-Eligible Participants
into a list (the “CDS Default Committee Participant List”). For this purpose, if
two or more CDS Committee-Eligible Participants are or become Affiliates, as
determined by ICE Clear Credit, they shall be treated as one on the CDS Default
Committee Participant List; provided that, notwithstanding the foregoing, CDS
Committee-Eligible Participants that are Affiliates but that make separate
contributions to the General Guaranty Fund shall be treated as separate on the
CDS Default Committee Participant List except that no CDS Default Committee
Participant shall be an Affiliate of another CDS Default Committee Participant
and ICE Clear Credit shall have the discretion to reorder the CDS Default
Committee Participant List and/or remove a CDS Default Committee Participant
to effectuate this prohibition.
(c)
The CDS Default Committee for the initial Relevant CDS Default Committee
Period shall be comprised of the first three CDS Committee-Eligible Participants
on the CDS Default Committee Participant List. For each Relevant CDS Default
Committee Period thereafter, the then current CDS Default Committee
Participants shall cease to be CDS Default Committee Participants and shall be
moved to the end of the CDS Default Committee Participant List, and the next
three CDS Committee-Eligible Participants on the CDS Default Committee
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Participant List shall be CDS Default Committee Participants. If at any time, there
are fewer than three CDS Committee-Eligible Participants on the CDS Default
Committee Participant List, all such CDS Committee-Eligible Participants shall be
CDS Default Committee Participants. The “Relevant CDS Default Committee
Period” will be six calendar months (i.e., January through June and July through
December), unless otherwise specified by the Board or its designee.
(d)
Any CDS Participant that ceases being a CDS Committee-Eligible Participant
shall be removed from the CDS Default Committee Participant List and, if such
CDS Participant is serving on the CDS Default Committee at the time of removal,
shall be replaced on the CDS Default Committee by the next CDS CommitteeEligible Participant on the CDS Default Committee Participant List. Any CDS
Participant that becomes (or resumes being) a CDS Committee-Eligible
Participant shall be added to the end of the CDS Default Committee Participant
List.
(e)
If ICE Clear Credit determines, whether upon the request of such CDS Default
Committee Participant or upon ICE Clear Credit’s own initiative, that any CDS
Default Committee Participant has a conflict or lacks impartiality with regard to an
action to be undertaken by the CDS Default Committee (e.g., it or its Affiliate is
the subject of the Default), is not available to participate with regard to such
actions in a timely manner, or should for any other reason be removed from or
not participate in actions to be undertaken by the CDS Default Committee, ICE
Clear Credit shall remove such CDS Default Committee Participant and, as
promptly as practicable under the circumstances, replace it with the next CDS
Committee-Eligible Participant on the CDS Default Committee Participant List
and, pending such replacement, the remaining CDS Default Committee Members
shall continue to perform the responsibilities of the CDS Default Committee.
(f)
No CDS Default Committee Member or CDS Default Committee Participant shall
be liable to ICE Clear Credit, any Defaulting CDS Participant, any other CDS
Participant or any other person for any actions taken or not taken in good faith in
its role as CDS Default Committee Member or CDS Default Committee
Participant.
(g)
The CDS Default Committee shall assist ICE Clear Credit in determining and
executing any Initial Cover Transactions and in determining and thereafter
adjusting any Minimum Target Prices and shall provide ICE Clear Credit with
recommendations with respect to (i) how prudently to unwind the Open CDS
Positions of a Defaulting CDS Participant (both Client-Related Positions and
House Positions) and the related Initial Cover Transactions, if any, (ii) how to
implement the Default Portability Rules, if applicable and (iii) the particular
structure and characteristics of any SR Auction, in each case in accordance with
these Rules and the ICE Clear Credit Procedures.
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(h)
Except as may be required by applicable law or court order or by a regulatory,
self-regulatory of supervising authority having appropriate jurisdiction, each CDS
Default Committee Participant and CDS Default Committee Member (each a
“Covered Party”) agrees (i) to maintain confidentiality as to all non-public
information it obtains in the course of its service including, without limitation, the
Open CDS Positions of a Defaulting CDS Participant, Minimum Target Prices (or
any adjustments thereto), or any other deliberations or determinations related to
the actions of ICE Clear Credit upon the Default of a CDS Participant (the
“Confidential Material”) and (ii) not to use any Confidential Material for its own
benefit or the benefit of any of its Affiliates. In the event that a Covered Party is
served with or otherwise subject to legal process (including subpoena or
discovery notice) requiring it to testify about, to produce, or otherwise to divulge
Confidential Material, to the extent permitted by law the Covered Party subject to
such process will as soon as practicable inform ICE Clear Credit so that ICE
Clear Credit may seek a protective order or other remedy. In the event that such
protective order or other remedy has not been obtained and the Covered Party is
advised, in the opinion of counsel, that it is legally compelled to disclose any of
the Confidential Material, the Covered Party may disclose only such Confidential
Material so advised to be disclosed.
(i)
Each CDS Default Committee Participant and CDS Default Committee Member
shall be responsible for its own costs associated with its service in such position.
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20A. CDS PORTABILITY RULES
The rules in this Chapter 20A apply to the clearance of CDS Contracts.
20A-01.
Portability Rules Where Participant is Not in Default.
(a)
Each Participant (other than a Defaulting Participant) (the “Transferor
Participant”) that carries Client-Related Positions shall be required, upon
request of a Non-Participant Party for whom such positions are carried to transfer
such Participant’s rights and obligations with respect thereto to one or more other
Participants (the “Transferee Participants”) designated by such Non-Participant
Party, subject to the provisions of this Rule 20A-01 and, to the extent not
inconsistent with this Rule 20A-01, to any terms agreed between such Participant
and Non-Participant Party. Such transfer shall be effected as soon as practicable
following satisfaction of the conditions set forth in subsection (b).
(b)
A transfer pursuant to subsection (a) shall be subject to the following conditions:
(i)
The Transferor Participant shall have no obligation to locate or obtain a
Transferee Participant (which shall be the responsibility of the NonParticipant Party).
(ii)
The transfer must be in accordance with any applicable legal
requirements, including CFTC Rule 39.15(d) and applicable rules of the
National Futures Association, and, to the extent permitted thereunder, any
applicable agreement between the Transferor Participant and NonParticipant Party.
(iii)
The Transferor Participant, Transferee Participant and Non-Participant
Party shall have agreed and executed and submitted to ICE Clear Credit a
transfer confirmation (the “Transfer Confirmation”) in a form approved by
ICE Clear Credit (which may be written or electronic) specifying the
following information:
(A)
The Client-Related Positions to be transferred (the “Transferred
Transactions”);
(B)
The proposed transfer date (the “Transfer Date”), which shall be
no earlier than the ICE Business Day of submission of the Transfer
Confirmation to ICE Clear Credit and shall be an ICE Business
Day;
(C)
Whether relevant margin allocated to the Non-Participant Party held
in the Client Omnibus Margin Account is to be transferred to the
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Transferee Participant or returned to the Transferor Participant for
distribution to the Non-Participant Party;
(D)
The amount of such margin, if any, to be so moved or returned in
respect of the transferred or novated contracts; and
(E)
Such other matters as ICE Clear Credit may specify.
(iv)
Prior to the applicable transfer time determined by ICE Clear Credit on the
Transfer Date (the “Transfer Time”), if required by ICE Clear Credit, each
of the Transferor Participant and the Transferee Participant shall have
Transferred additional Margin in the amount specified by ICE Clear Credit
to satisfy any additional Margin Requirements as a result of the proposed
adjustments in Client-Related Positions pursuant to clause (c) below.
(iv)
ICE Clear Credit has accepted such Transfer Confirmation, and the
Transferor Participant and Transferee Participant have satisfied such
other conditions as ICE Clear Credit may have specified.
(c)
If such conditions are satisfied, then as of the Transfer Time, the transfer shall
occur as set forth in the Transfer Confirmation and ICE Clear Credit shall (i)
adjust the outstanding Client-Related Positions of the Transferor Participant to
reflect the transfer of Client-Related Positions related to the Transferred
Transactions; (ii) adjust the outstanding Client-Related Positions of the
Transferee Participant to reflect the transfer of the Transferred Transactions; (iii)
adjust the Margin Requirements of the Transferor Participant and Transferee
Participant to reflect such adjustments of outstanding Client-Related Positions;
and (iv) transfer the applicable margin from the Client Omnibus Margin Account
of the Transferor Participant to that of the Transferee Participant or return such
margin to the Transferor Participant for distribution to the Non-Participant Party,
as specified in the Transfer Confirmation.
(d)
Notwithstanding anything to the contrary herein, no Participant shall be required
to accept transfer of any Client-Related Transaction as a Transferee Participant
without its consent.
(e)
Following the Transfer Time, each of the Transferor Participant and Transferee
Participant must make appropriate submissions, in accordance with the ICE
Clear Credit Procedures, to Deriv/SERV or another service specified by ICE
Clear Credit to reflect the adjustments to its outstanding Client-Related Positions.
The Non-Participant Party shall be required to make appropriate such
submissions to reflect such novation.
(f)
Notwithstanding anything to the contrary herein or in any Transfer Confirmation,
if a Default occurs with respect to a Transferor Participant prior to the Transfer
Time for a transfer, such transfer (and any related Transfer Confirmation) will be
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of no effect and ICE Clear Credit will not adjust the related Client-Related
Positions pursuant to this Rule 20A-01.
20A-02.
(a)
Post-Default Portability Rules.
If ICE Clear Credit determines to effect the Closing-out Process in respect of
Client-Related Positions of a Defaulting Participant, ICE Clear Credit shall
determine the loss to it with respect to the Client-Related Positions pursuant to
the Closing-out Process and any shortfall in Margin allocated with respect to
each Non-Participant Party Portfolio. The following additional provisions shall
apply in respect of Client-Related Positions of such Defaulting Participant
determined by ICE Clear Credit and the receiver, trustee or other insolvency
practitioner for the Defaulting Participant to be eligible therefor (“Eligible
Transfer Positions”):
(i)
To the extent permitted by law, ICE Clear Credit may (but will not be
obligated to), on its own or in coordination with the receiver, trustee or
other insolvency practitioner for such Defaulting Participant, transfer or
arrange or facilitate the transfer of such Eligible Transfer Positions to other
CDS Participants that will accept such positions. Except as required by
law and without limiting the foregoing, ICE Clear Credit will have no
obligation to permit any transfer of Eligible Transfer Positions if it would
result in ICE Clear Credit being undermargined or undersecured with
respect to any remaining Client-Related Positions or would raise other risk
management concerns for ICE Clear Credit, in each case as determined
by ICE Clear Credit in its sole discretion.
(ii)
Such transfers of Eligible Transfer Positions may be made with respect to
the entire portfolio of Eligible Transfer Positions or any relevant portion
thereof (including, if applicable, on a client-by-client basis). Subject to the
foregoing, ICE Clear Credit may take into consideration such other factors
ICE Clear Credit determines to be relevant in making, arranging or
facilitating any such transfer.
(iii)
Following the transfer of Client-Related Positions related to a NonParticipant Party Portfolio, ICE Clear Credit may transfer any related
margin allocated to such Non-Participant Party Portfolio in the Client
Omnibus Margin Account to the applicable such account of the transferee
Participant, to serve as margin for the transferred transactions, and
Defaulting Participant agrees to such transfer and to take any necessary
action to facilitate such transfer. Notwithstanding the foregoing, the
transferee Participant shall remain obligated to satisfy any Margin
Requirement resulting from its acceptance of the transfer of Client-Related
Positions. For the avoidance of doubt, ICE Clear Credit may recalculate
Margin requirements to reflect any increase in the Initial Margin
requirement as a result of the transfer of less than all of the Client-Related
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Positions of a Defaulting Participant. Any such movements of margin shall
be determined by ICE Clear Credit on the basis of information most
recently provided to ICE Clear Credit by the Defaulting Participant (or any
receiver, trustee, insolvency practitioner or similar party therefor).
Notwithstanding anything to the contrary herein, any such transfer of
margin shall be subject to any requirements or limitations under applicable
law, including Part 190 of the CFTC Regulations, and any approvals or
consents that ICE Clear Credit may determine to be required or advisable
under the circumstances.
(iv)
Nothing in these Rules shall require a Participant to accept transfer of
Eligible Transfer Positions.
(b)
A Defaulting CDS Participant shall take no action, including but not limited to
attempting to obtain a court order, that could interfere with the ability of ICE Clear
Credit to take action contemplated by the Default Portability Rules, including,
without limitation, the transfer or replacement of positions and the transfer of
related margin or collateral.
(c)
Each CDS Participant hereby appoints ICE Clear Credit as its lawful agent and
attorney-in-fact, as further security for the Obligations of the CDS Participant, to
(i) take such actions on behalf of the CDS Participant in the event it becomes a
Defaulting CDS Participant as ICE Clear Credit, in its discretion and in
accordance with the Default Portability Rules, determines for the purposes of
executing any document or instrument in order to effectuate the Default
Portability Rules and/or (ii) exercise rights and remedies under any and all Open
CDS Positions in such manner as ICE Clear Credit may, in its discretion and in
accordance with the Default Portability Rules, determine. Each Participant
hereby ratifies and confirms all acts or things ICE Clear Credit does or purports
to do pursuant to this power of attorney.
(d)
Following the transfer or replacement of Eligible Transfer Positions pursuant to
this Rule 20A-02, the Replacement Participant and, if applicable, the NonParticipant Party must make appropriate submissions, in accordance with the
ICE Clear Credit Procedures, to Deriv/SERV or another service specified by ICE
Clear Credit to reflect such transfer or replacement.
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21.
REGIONAL CDS COMMITTEES AND DISPUTE RESOLUTION PROCEDURES
2101. Composition and Role of the Regional CDS Committees.
2101-01.
Composition of the Regional CDS Committees.
(a)
For each CDS Region, there shall be a committee, governed by these CDS
Committee Rules, responsible for making determinations and resolving disputes
related to cleared CDS Contracts for that CDS Region (each, a “Regional CDS
Committee”). For each CDS Region, the Board or its designee will also
determine the location and parameters for determining whether a day is a CDS
Regional Business Day in respect of the relevant CDS Region and the relevant
local time.
(b)
Each Regional CDS Committee will consist of one member (each, a “Committee
Member”) for each Regional CDS Participant. Each Regional CDS Participant
shall, upon request, promptly notify ICE Clear Credit of the identity of its
authorized representative who will serve as its Committee Member for a Regional
CDS Committee and also of its authorized alternative representative, who may
serve as the Regional CDS Participant’s Committee Member in the absence of
the Regional CDS Participant’s authorized representative.
(c)
For a particular CDS Region, a “Regional CDS Participant” is CDS CommitteeEligible Participant, as defined in Rule 20-102, that meets the applicable criteria
established for the relevant CDS Region by the Board or its designee, in each
case at the time of the relevant vote or other activity under these CDS Committee
Rules. If any two or more Regional CDS Participants in a particular CDS Region
are or become Affiliates, as determined by the Board or its designee, those
Regional CDS Participants together are entitled to appoint only a single
Committee Member for the relevant Regional CDS Committee. If at any time
affiliated Regional CDS Participants in a particular CDS Region have identified
more than one Committee Member for the relevant Regional CDS Committee,
the affiliated Regional CDS Participants will promptly notify ICE Clear Credit
which of the identified authorized representatives and authorized alternative
representatives will represent them.
(d)
For each Regional CDS Committee, the Chairman of the Board, with the
approval of the Board or its designee, will from time to time appoint a Committee
Member from the Regional CDS Committee to serve as chairperson of the
committee for a term of one year (each, a “Chairperson”). If a Chairperson
ceases to be a Committee Member of the relevant Regional CDS Committee or
notifies the Chairman of the Board of his or her resignation, the Chairman of the
Board, with the approval of the Board or its designee, will appoint another
Committee Member to serve as Chairperson of the relevant Regional CDS
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Committee for the remainder of the outgoing Chairperson’s term. Prior service as
Chairperson does not disqualify a Committee Member from subsequent terms of
service as Chairperson.
(e)
Each Regional CDS Participant shall be responsible for its own costs associated
with its participation as a Regional CDS Participant or as a Committee Member
unless these CDS Committee Rules specifically provide otherwise.
2101-02.
(a)
Role of the Regional CDS Committees.
For the relevant CDS Region, the Regional CDS Committee shall, subject to
Rule 2101-02(d) and (e), be responsible for:
(i)
determining whether a Reference Entity under a CDS Contract has been
the subject of a Succession Event (in the case of a 2003-Type CDS
Contract) or circumstances giving rise to a Successor and a Succession
Date (in the case of a 2014-Type CDS Contract) and, if so, determining
the legally effective date of the Succession Event or such circumstances
and the identity of the Reference Entity’s Successor(s), if any, provided
that such determination shall be made only where sufficient information is
available to the Regional CDS Committee to make such determination;
(ii)
where necessary in respect of a CDS Contract to which “Standard
Reference Obligation” is not applicable hereunder, determining whether a
Reference Obligation no longer satisfies the applicable requirements
under such CDS Contract and, if so, identifying any Substitute Reference
Obligation, provided that such determination shall be made only where
sufficient information is available to the Regional CDS Committee to make
such determination;
(iii)
determining whether a Credit Event for which there is Publicly Available
Information has occurred with respect to a CDS Contract on or after the
Credit Event Backstop Date and on or prior to the Extension Date (with the
timing of such Credit Event determined in accordance with the terms of
such CDS Contracts) and, if so, determining the relevant Event
Determination Date, if any, which shall be the first date on which the
relevant Regional CDS Committee both has received effective notice
during the relevant Notice Delivery Period or Post Dismissal Additional
Period, as applicable, requesting that the Regional CDS Committee
determine the matters described in this clause (iii) and is in possession of
Publicly Available Information in respect of the relevant Credit Event;
provided, however, that an Event Determination Date relating to a
Relevant Restructuring Credit Event shall occur in respect of a
Restructuring CDS Contract or part thereof only if a relevant party thereto
delivers a Restructuring Credit Event Notice relating thereto on or before
the relevant Exercise Cut-off Date, as provided in the CDS Restructuring
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Rules; provided, further, that in circumstances where Section 4.6(d)(ii) of
the Applicable Credit Derivatives Definitions would otherwise apply, the
Regional CDS Committee will be responsible for determining whether the
Repudiation/Moratorium Extension Condition is satisfied (and delivery of a
Repudiation/Moratorium Extension Notice will be of no effect);
(iv)
if the applicable method of settlement under a CDS Contract is Physical
Settlement (whether initially or due to the fact that the CDS Contract is to
be settled in accordance with the Fallback Settlement Method), resolving
any questions presented by one or more Committee Members with
respect to such CDS Contract regarding (1) whether a particular obligation
is a Deliverable Obligation, (2) whether a particular Deliverable Obligation
satisfies Section 2.32(a) or 2.33(a) of the 2003 Definitions (in the case of a
2003-Type CDS Contract) or Section 3.31(a) or 3.32(a) of the 2014
Definitions (in the case of a 2014-Type CDS Contract), if applicable (a
Deliverable Obligation that satisfies the relevant Section, a “Permissible
Deliverable Obligation”), (3) the length of the Physical Settlement Period
(unless such period is fixed for purposes of the relevant Delivery pursuant
to the Applicable Credit Derivatives Definitions), in the case of a 2003Type CDS Contract, (4) the Accreted Amount of any Accreting Obligation
(in the case of a 2003-Type CDS Contract) or the Outstanding Principal
Balance of any relevant Deliverable Obligation (in the case of a 2014-Type
CDS Contract), (5) whether an Asset Package Credit Event has occurred
in the case of a 2014-Type CDS Contract, the identification of any relevant
Asset Package or Largest Asset Package or the methodology for
determining the relevant Asset Market Value with respect to a NonTransferable Instrument or Non-Financial Instrument (in the case of a
2014-Type CDS Contract); or (6) with respect to a Deliverable Obligation,
any specific assignment, novation or other document or any other action
that may be necessary, customary or desirable and reasonably requested
by either party to a CDS Contract that is the subject of a Matched Delivery
Pair for the purpose of effecting Physical Settlement and, with respect to a
Deliverable Obligation that is a Loan, the documentation customarily used
in the relevant market for Delivery of such Loan at that time, including any
market advisory, and any amendments to such documentation to the
extent necessary in order to preserve the economic equivalent, as closely
as practicable, of the delivery and payment obligations of the parties under
the Applicable Credit Derivatives Definitions; and
(v)
with respect to a CDS Contract, making any other determination
requested of it or resolving any disputes referred to it by ICE Clear Credit
or its designee or by any Committee Member, excluding (A) making
determinations or resolving disputes relating to withholding, gross-up or
reimbursement for or on account of any Tax (as defined in Rule 613) or
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other Tax matters and (B) resolving disputes that are subject to arbitration
pursuant to these Rules.
(b)
Subject to Rule 2101-02(d) and (e), ICE Clear Credit shall be responsible for
performing any calculations or other determinations required of the Calculation
Agent by a CDS Contract, other than those responsibilities specifically delegated
to the Regional CDS Committees as provided in Rule 2101-02(a) or as otherwise
delegated to the Regional CDS Committees by the Board or its designee. Any
Calculation Agent determination made by ICE Clear Credit under this Rule 210102(b) may be disputed by any Committee Member referring the determination to
the relevant Regional CDS Committee.
(c)
If there is a question presented to the Regional CDS Committee under Rule
2101-02(a)(iv) with respect to whether a particular obligation is a Deliverable
Obligation or a Permissible Deliverable Obligation, as applicable, or, in respect of
a 2014-Type CDS Contract, the Outstanding Principal Balance of such
Deliverable Obligation or Permissible Deliverable Obligation, as applicable, and
the answer to the question may differ based on the date as of which the question
is answered (for example, there is a contingency that might cease to exist as of a
particular date for purposes of the “Not Contingent” Deliverable Obligation
Characteristic in the case of a 2003-Type CDS Contract or for purposes of
Section 3.8 of the 2014 Definitions in the case of a 2014-Type CDS Contract),
the presenter of the question will identify the relevant date.
(d)
Notwithstanding anything to the contrary in this Rule 2101-02 or elsewhere in
these Rules, if the July 2009 Supplement or 2014 Definitions apply to a CDS
Contract, the Regional CDS Committee shall not consider a question under these
CDS Committee Rules in respect of such CDS Contract (including where new
information, relevant to the question to be considered, has become available)
unless a request has been previously submitted to the DC Secretary, to convene
the relevant Credit Derivatives Determinations Committee to resolve the answer
to such question for the purposes of the relevant CDS Contract (and, where new
information as aforesaid has become available, that information has been made
available to the DC Secretary with such request) and the DC Secretary has
publicly announced that the relevant Credit Derivatives Determinations
Committee has resolved not to determine the answer to such question or will not
be deliberating the question.
(e)
For the avoidance of doubt, if the July 2009 Supplement or 2014 Definitions
apply to a CDS Contract, any determination by a Credit Derivatives
Determinations Committee applicable to such CDS Contract shall be binding on
ICE Clear Credit and the relevant CDS Participants and shall supersede a prior
determination of the same question by the relevant Regional CDS Committee,
Dispute Resolver or ICE Clear Credit, as applicable, as provided in Section
9.1(c)(iii) of the 2003 Definitions (in the case of a 2003-Type CDS Contract) or
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Section 10.2 of the 2014 Definitions (in the case of a 2014-Type CDS Contract)
(except as expressly stated otherwise in Section 9.1(c)(iii)(B) thereof or Section
10.2(a)(i) thereof, as applicable) interpreted as if the relevant Regional CDS
Committee, Dispute Resolver or ICE Clear Credit, as applicable, were the
Calculation Agent). In the event there is a pending question before a Regional
CDS Committee or a Dispute Resolver and the DC Secretary publicly announces
that the conditions are satisfied to convene a Credit Derivatives Determinations
Committee to resolve the same question, such Regional CDS Committee or
Dispute Resolver shall cease considering such question and, in the event the
question is raised again with such Regional CDS Committee or Dispute Resolver
following such Credit Derivatives Determinations Committee’s proceedings, the
process of considering such question by such Regional CDS Committee or
Dispute Resolver shall start over from the beginning.
(f)
If the July 2009 Supplement or 2014 Definitions apply to a CDS Contract, in each
case notwithstanding whether the applicable Regional CDS Committee is entitled
to consider the question pursuant to Rule 2101-02(d):
(i)
a question presented to a Regional CDS Committee concerning whether
or not an event constitutes a Credit Event with respect to such CDS
Contract which includes a description in reasonable detail of the facts and
information required to be included in a Credit Event Notice and a Notice
of Publicly Available Information shall be deemed to be delivery by a
Notifying Party to the other party of a Credit Event Notice and Notice of
Publicly Available Information under all relevant CDS Contracts only for
the purposes of determining the Credit Event Backstop Date pursuant to
Section 1.23 of the 2003 Definitions (in the case of a 2003-Type CDS
Contract) or Section 1.39 of the 2014 Definitions (in the case of a 2014Type CDS Contract) and as otherwise provided in these Rules; and
(ii)
a question presented to a Regional CDS Committee concerning whether
or not an event constitutes a Succession Event or circumstances giving
rise to a Successor and a Succession Date with respect to such CDS
Contract which includes a description in reasonable detail of the facts
required to be included in a Succession Event Notice or Successor Notice,
as applicable, shall be deemed to be delivery by one party to the other
party of a Succession Event Notice or Successor Notice, as applicable,
under all relevant CDS Contracts only for the purposes of determining the
Succession Event Backstop Date pursuant to Section 2.2(i) of the 2003
Definitions (in the case of a 2003-Type CDS Contract) or the Successor
Backstop Date pursuant to Section 2.2(k) of the 2014 Definitions (in the
case of a 2014-Type CDS Contract), as applicable, and as otherwise
provided in these Rules.
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2101-03.
Meetings of the Regional CDS Committee.
(a)
ICE Clear Credit or the Chairperson may, and at the request of any two
Committee Members the Chairperson will, call a meeting of the Regional CDS
Committee on no less than three hours’ notice. Meetings may commence at any
time between 10:00 a.m. and 6:00 p.m. local time on a CDS Regional Business
Day. As part of the notice to Committee Members of the meeting, ICE Clear
Credit or the Chairperson, as applicable, shall include a brief description of the
circumstances, including (if applicable) which category described in Rule 210102(a) the Regional CDS Committee is being asked to consider. Meetings may be
held in person or by telephone or videoconference.
(b)
There will be no quorum for holding a meeting of a Regional CDS Committee.
The quorum for holding a binding or non-binding vote will be a number of
Committee Members equal to the Standard Quorum Number, unless otherwise
indicated in a CDS Committee Rule. “Standard Quorum Number” means the
greater of (i) 5 and (ii) 50 percent of the Regional CDS Participants for the
relevant Regional CDS Committee (rounded down to the nearest whole number).
(c)
Each Committee Member will have a single vote on all matters before the
Regional CDS Committee. In addition, each Regional CDS Participant agrees
that it will cause its Committee Member (or any other person voting on such
Committee Member's behalf) to, when casting a ballot in a binding vote, vote for
the answer that is, in such voter's good faith belief, the proper answer to the
question, taking into account any ambiguities in the application of the terms of
the CDS Contract to the particular question.
(d)
The voting standards used in these CDS Committee Rules have the following
meanings:
(i)
a “Quorum Majority” means that there is a quorum for the vote and at
least a majority of voting Committee Members have voted for a particular
answer to the question posed.
(ii)
a “Quorum Supermajority” means that there is a quorum for the vote and
at least two-thirds of voting Committee Members have voted for a
particular answer to the question posed.
(iii)
a “Quorum Stage 2 Supermajority” means that there is a quorum for the
vote and at least two-thirds of voting Committee Members have voted for
a particular answer to the question posed. For a Quorum Stage 2
Supermajority, the denominator is the greater of (x) the number of
Committee Members voting in the vote and (y) the number of Committee
Members who voted in the most recent binding vote on the question.
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(iv)
an “Acceleration Supermajority” means that there is a quorum for the
vote of at least two-thirds of Committee Members on a Regional CDS
Committee and all voting Committee Members have voted for holding a
binding vote on an Issue or any element thereof on a date earlier than the
date described in Rule 2103-02(a).
(v)
an “Effectiveness Supermajority” means that there is a quorum for the
vote of at least two-thirds of Committee Members on a Regional CDS
Committee and at least three-quarters of voting Committee Members have
voted for a particular Effectiveness Convention.
For purposes of each of these voting standards, (1) Committee Members who
are present but abstain from voting are neither counted for purposes of
determining whether there is a quorum nor counted in the denominator for
purposes of determining whether the requisite threshold is met and (2)
Committee Members who are present but vote that they need more time to
consider the question are both counted for purposes of determining whether
there is a quorum and counted in the denominator for purposes of determining
whether the requisite threshold is met.
(e)
A Committee Member may invite one or more employees of the Regional CDS
Participant such Committee Member is representing (or of an Affiliate) to
participate in a meeting of the Regional CDS Committee relating to an Issue for
which the employee(s) have expertise. The Committee Member may, by notice to
the Regional CDS Committee, delegate the authority to vote on its behalf on a
particular Issue to any such employee.
(f)
A Regional CDS Committee may seek advice or assistance from outside counsel
or other outside experts by a Quorum Majority vote of Committee Members in
favor. The costs associated with any such advice or assistance may not exceed
$100,000 per Regional CDS Committee in any one calendar year (or such other
amount specified by ICE Clear Credit), without the approval of ICE Clear Credit.
(g)
The decisions of a Regional CDS Committee will be effective at the time of the
binding vote, unless the Regional CDS Committee has adopted an applicable
Effectiveness Convention, in which case the decision will be effective as provided
in the Effectiveness Convention. By an Effectiveness Supermajority vote in favor,
a Regional CDS Committee may adopt a convention, or modify an existing
convention, for determining when a particular decision is effective in one or more
particular contexts or circumstances (an “Effectiveness Convention”).
(h)
ICE Clear Credit may make publicly available the answer by which a Regional
CDS Committee has Resolved a question with respect to an Issue or any
element thereof. A Regional CDS Committee may make publicly available a
written summary of the basis for the Resolution of an Issue (whether pursuant to
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Rule 2103, 2104 or 2105) if such summary is supported by a Quorum Stage 2
Supermajority.
(i)
Any Participant (whether or not a Regional CDS Participant) or Non-Participant
Party may submit to the Chairperson a question for consideration by the
Regional CDS Committee in accordance with this Chapter 21 of the Rules. The
Regional CDS Committee shall determine whether to consider any such question
in accordance with this Chapter 21 of the Rules.
2101-04.
Regional CDS Committee Mandatory Voting Members.
(a)
ICE Clear Credit shall maintain a list of Regional CDS Participants for purposes
of identifying Regional CDS Participants whose Committee Member shall be
required to participate in all meetings and votes relating to a matter before the
Regional CDS Committee (a “Mandatory Voting Member”), absent a written
certification to ICE Clear Credit by the relevant Regional CDS Participant that, in
its judgment, neither its Committee Member nor anyone else within the Regional
CDS Participant’s organization is appropriate to serve in such capacity. A
Regional CDS Participant may not provide such a written certification solely on
the basis that it does not trade the particular CDS Contract at issue.
(b)
For each CDS Region, ICE Clear Credit shall initially list the Regional CDS
Participants in random order. ICE Clear Credit shall remove from the list those
that cease to be Regional CDS Participants and add to the list in a random
position any new Regional CDS Participants. If a Regional CDS Participant
serves as a Mandatory Voting Member, it shall be moved to the bottom of the list.
ICE Clear Credit will provide an updated list to the Regional CDS Participants
promptly after any update. If requested on a Quorum Majority vote by the
relevant Regional CDS Committee, ICE Clear Credit shall randomly re-order the
list.
(c)
If a Regional CDS Committee votes, whether binding or non-binding, with respect
to:
(i)
an Issue under one of the subclauses in Rule 2101-02(a), including voting
not to determine any such Issue or to dismiss such Issue;
(ii)
an amendment to these CDS Committee Rules proposed under Rule
2106-02(b); or
(iii)
an Effectiveness Convention under Rule 2101-03(g);
and fails to achieve a quorum, the Chairperson shall notify ICE Clear Credit,
which shall, by proceeding in the order of the list, promptly identify a number of
Regional CDS Participants equal to the full quorum required for that vote (e.g.,
the Standard Quorum Number if the voting standard is a Quorum Majority or a
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Quorum Supermajority) whose Committee Member shall serve as Mandatory
Voting Members for such vote or, in the case of clause (i), until all aspects of the
matter requiring the participation of Mandatory Voting Members have been fully
Resolved.
2102. The Dispute Resolution Panel and the Dispute Resolver.
2102-01.
Role and Composition of the Dispute Resolution Panel.
(a)
For each CDS Region, ICE Clear Credit may, as provided in this Rule 2102-01,
maintain a list (each such list, a “Dispute Resolution Panel”) of persons eligible
to resolve, in accordance with these CDS Committee Rules, disputes that are
referred to Stage 2 procedures described in Rule 2104 by the relevant Regional
CDS Committee under Rule 2103-03.
(b)
Each Dispute Resolution Panel will consist of between 3 and 5 persons (each, a
“Panel Member”) selected in accordance with Rule 2102-01(c). If at any time,
there are fewer than 3 Panel Members, ICE Clear Credit shall select additional
individuals to be added to the Dispute Resolution Panel in accordance with Rule
2102-01(c). The Panel Member charged with resolving a particular dispute (the
“Dispute Resolver”) will be selected from the relevant Dispute Resolution Panel
in accordance with Rule 2102-02.
(c)
ICE Clear Credit shall nominate one or more individuals to be considered for
membership on a Dispute Resolution Panel and shall notify the Committee
Members for the relevant Regional CDS Committee of each such nomination.
ICE Clear Credit may nominate only individuals that it is satisfied are not current
employees or directors of a Regional CDS Participant for the relevant CDS
Region or an Affiliate thereof. Unless 3 or more Committee Members for the
relevant Regional CDS Committee object to the nomination within 30 days of the
date ICE Clear Credit notifies Committee Members of the nomination, the
individual will become a Panel Member effective on the later of such 30 th day and
the date the individual signs an agreement with ICE Clear Credit governing its
role as Panel Member for a term specified in the agreement.
(d)
ICE Clear Credit may, and if directed by the relevant Regional CDS Committee
as provided in this Rule 2102-01(d) shall, remove a Panel Member by terminating
or by not renewing or extending the term of a Panel Member in accordance with
the agreement between ICE Clear Credit and the Panel Member; provided that a
Panel Member who is then serving as Dispute Resolver may be removed only for
cause. If a Panel Member is removed for cause while he or she is serving as
Dispute Resolver, or withdraws from service as Dispute Resolver, a replacement
Dispute Resolver shall be selected as if the dispute being resolved by the
removed Panel Member had been newly referred to Stage 2 for resolution on the
date of such Panel Member’s removal or withdrawal. The Regional CDS
Committee shall consider at least annually whether to direct ICE Clear Credit to
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remove any Panel Members from the Dispute Resolution Panel for the relevant
CDS Region. To so direct ICE Clear Credit, (i) a Quorum Supermajority of
Committee Members for the relevant Regional CDS Committee must vote in
favor of the removal if the Panel Member is being removed in the middle of his or
her term and (ii) a Quorum Majority of Committee Members for the relevant
Regional CDS Committee must vote in favor of the removal if the Panel
Member’s term is not being renewed or extended.
2102-02.
(a)
(b)
Selection of the Dispute Resolver.
When a Regional CDS Committee refers a dispute to the Dispute Resolution
Panel, the Dispute Resolver will be selected as follows:
(i)
The Panel Member at the top of the Panel Member list, ordered as
described in Rule 2102-02(b), at the time the Regional CDS Committee
refers the dispute to the relevant Dispute Resolution Panel will be charged
with resolving the dispute, unless that Panel Member indicates he or she
has a conflict of interest or lacks impartiality with regard to resolution of
the dispute or is not available to resolve the dispute within the time periods
contemplated by the Stage 2 procedures set forth in Rule 2104-03(a) or
unless ICE Clear Credit determines there is such a conflict of interest or
lack of impartiality (or the appearance of either) or a lack of availability. If
more than one question relating to a single Issue is referred to Stage 2 for
resolution, then the Panel Member selected under this Rule 2102-02(a)
shall be the Dispute Resolver for each such question.
(ii)
If that Panel Member indicates (or ICE Clear Credit determines) such a
conflict of interest or lack of impartiality or availability, the Panel Members
on the relevant Dispute Resolution Panel will be charged in the order
described in Rule 2102-02(b) to resolve the dispute until a Panel Member
is identified without such a conflict of interest or lack of impartiality or
availability.
(iii)
If all Panel Members on the relevant Dispute Resolution Panel indicate (or
ICE Clear Credit determines) such a conflict of interest or lack of
impartiality or availability, or if there are no Panel Members on the relevant
Dispute Resolution Panel, the dispute shall be referred back to the
Regional CDS Committee to be resolved in accordance with the Stage 3
procedures described in Rule 2105.
The Panel Members on the Dispute Resolution Panel will be ordered as follows:
(i)
For each CDS Region, ICE Clear Credit shall initially list the Panel
Members in random order. At the end of each Relevant Period, ICE Clear
Credit shall randomly reorder the Panel Member list for the next Relevant
Period. For any Relevant Period, the Panel Member at the top of the initial
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list for that Relevant Period will be the “Primary Panel Member”. A Panel
Member is not eligible to be the Primary Panel Member after having been
the Primary Panel Member in the prior Relevant Period, unless the
individual is the only remaining Panel Member, and ICE Clear Credit shall
randomly reorder the Panel Member list for a particular Relevant Period
until this requirement is satisfied.
(ii)
ICE Clear Credit shall remove from the Dispute Resolution Panel those
individuals that cease to be Panel Members during the particular Relevant
Period and add to the bottom of the list any new Panel Member. If a Panel
Member on a list for a particular Relevant Period serves as a Dispute
Resolver, the individual shall be moved to the bottom of the list for that
Relevant Period.
(iii)
The “Relevant Period” will be six calendar months (i.e., January through
June and July through December), unless otherwise specified by the
Board or its designee.
(iv)
ICE Clear Credit will provide an updated list of Panel Members to the
Regional CDS Participants promptly after any update to the Dispute
Resolution Panel.
2103. Stage 1 – The Regional CDS Committee with Quorum Supermajority Vote.
2103-01.
General.
(a)
When a Regional CDS Committee is asked to consider the application of a
particular set of circumstances to a category described in Rule 2101-02(a) (an
“Issue”), one or more meetings shall be held where Committee Members will
discuss the Issue and attempt to reach a consensus. To facilitate this process,
the Regional CDS Committee may hold one or more non-binding votes to gauge
the views of the Committee Members. A non-binding vote shall be held whenever
called by the Chairperson or requested by two or more Committee Members.
(b)
The Regional CDS Committee will attempt to reach a consensus on the phrasing
of one or more questions the answers to which are necessary to Resolve an
Issue. If the Regional CDS Committee cannot reach a consensus on the
phrasing of any question, any two Committee Members may pose a question to
be voted on by the Regional CDS Committee. To the extent practicable, the
Regional CDS Committee should endeavor to Resolve through individual
questions particular elements of an Issue even if unable to Resolve all elements
of such Issue. For example, the Regional CDS Committee might Resolve the
determination that a Reference Obligation no longer satisfies the applicable
requirements under a CDS Contract even if unable to Resolve the determination
of an appropriate Substitute Reference Obligation (or vice versa).
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2103-02.
(a)
Binding Votes.
Subject to Rule 2103-02(d), a binding vote on all elements of an Issue shall be
held:
(i)
for an Issue described in Rule 2101-02(a)(iii) or Rule 2101-02(a)(iv), on
the second CDS Regional Business Day after the CDS Regional Business
Day of the initial meeting of the Regional CDS Committee regarding the
Issue; and
(ii)
for any other Issue, on the ninth CDS Regional Business Day after the
CDS Regional Business Day of the initial meeting of the Regional CDS
Committee regarding the Issue;
unless, in the case of clause (i), the date for a binding vote has been delayed by
a vote in favor of such delay by a Quorum Supermajority of the Regional CDS
Committee and, in the case of clause (ii), the date for a binding vote has been
delayed by a vote in favor of such delay by a Quorum Majority of the Regional
CDS Committee for the first delay and a vote in favor of such delay by a Quorum
Supermajority of the Regional CDS Committee for any subsequent delay.
(b)
A Regional CDS Committee may hold a binding vote on any element of an Issue
on a date earlier than the date described in Rule 2103-02(a), (i) on the CDS
Regional Business Day of the initial meeting of the Regional CDS Committee
regarding the Issue, if an Acceleration Supermajority vote in favor or (ii) on any
subsequent CDS Regional Business Day, if a Quorum Supermajority vote in
favor.
(c)
If, in a binding vote, a Quorum Supermajority vote for a particular answer to a
question, that question is considered Resolved according to that answer. Once a
question has been Resolved, it may not be reconsidered or voted on again by the
Regional CDS Committee. For the sake of clarity, if a Regional CDS Committee
Resolves (i) that a Credit Event for which there is Publicly Available Information
has not occurred with respect to a CDS Contract, but Publicly Available
Information not considered by the Regional CDS Committee becomes available
to the Regional CDS Committee, (ii) that a particular obligation is or is not a
Deliverable Obligation or a Permissible Deliverable Obligation as of a particular
date, but the analysis would be different if the Deliverable Obligation
Characteristics, 2003 Definitions Section 2.32(a) or 2.33(a) (in the case of a
2003-Type CDS Contract), or 2014 Definitions Section 3.31(a) or 3.32(a) (in the
case of a 2014-Type CDS Contract, as applicable, were applied on a different
date, or (iii) the Outstanding Principal Balance of a Deliverable Obligation (in the
case of a 2014-Type CDS Contract), as of a particular date but the analysis
would be different if Section 3.8 of the 2014 Definitions were applied on a
different date, a subsequent vote on such Issue is considered a new question
rather than reconsideration of the prior question.
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(d)
A Regional CDS Committee may, in a binding vote, by a Quorum Majority,
decide not to determine the relevant Issue or to dismiss the relevant Issue, in
which case the Issue shall be treated as though it had never been raised for
consideration by such Regional CDS Committee.
2103-03.
(a)
(b)
(c)
Referral to Stage 2.
An Issue presented to the Regional CDS Committee will be referred to Stage 2 if:
(i)
the Regional CDS Committee holds a binding vote where a Quorum
Supermajority are in favor of referring the Issue to Stage 2, in which case
all elements of such Issue that have not been Resolved by the Regional
CDS Committee through a binding vote will be referred to Stage 2; or
(ii)
(unless Rule 2103-02(d) applies) the Regional CDS Committee has not
fully Resolved all elements of an Issue through a binding vote within the
time period described in Rule 2103-02(a), in which case each element not
Resolved will be referred to Stage 2.
If an Issue is referred to Stage 2, the positions to be presented to the Dispute
Resolver (each, a “Presented Position” and, collectively, the “Presented
Positions”) in respect of the elements of an Issue not Resolved by the Regional
CDS Committee shall be determined as follows:
(i)
In the case of a question that was phrased to be answered with either
“yes” or “no”, the Presented Positions shall be both the “yes” and “no”
answers.
(ii)
In the case of a question that was not phrased to be answered with either
“yes” or “no”, the Presented Positions shall include the answer or answers
that receive the most votes. If only one answer receives the most votes,
the Presented Positions shall also include the answer or answers
receiving the next most votes.
Where the Regional CDS Committee failed to reach a consensus on the phrasing
of a question necessary to Resolve one or more elements of an Issue and there
was more than one phrasing of a question voted on by the Regional CDS
Committee in a binding vote, a Quorum Supermajority may determine the
phrasing of the question to be addressed in Stage 2, and in the absence of a
Quorum Supermajority favoring a particular phrasing, the Dispute Resolver shall
select the phrasing of the question to be addressed in Stage 2.
2104. Stage 2 – Dispute Resolution.
2104-01.
General.
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(a)
The Dispute Resolver for a particular dispute will follow the procedures set forth
in this Rule 2104 in resolving the dispute. At any time before the Dispute
Resolver announces his or her decision with respect to a question, the Regional
CDS Committee may withdraw and Resolve the question by holding a vote
where a Quorum Stage 2 Supermajority vote for a particular answer to the
question. In that case, ICE Clear Credit or the Regional CDS Committee shall
notify the Dispute Resolver not to render a decision on the particular question.
2104-02.
The Decision.
(a)
The Dispute Resolver must, in his or her decision with respect to a question,
select without alteration in any way from one of the Presented Positions.
(b)
The Dispute Resolver will communicate to the Regional CDS Committee and ICE
Clear Credit in writing which of the Presented Positions he or she has selected
with respect to a question, but shall not issue a written opinion explaining his or
her reasoning. The decision of the Dispute Resolver will be effective at the time
the decision is communicated, unless the time of effectiveness was specifically
included in the Presented Position.
(c)
Unless either the Regional CDS Committee has withdrawn and Resolved a
question as described in Rule 2104-01(a) or any of the conditions described in
Rule 2104-02(d) are met, the Dispute Resolver’s decision with respect to a
question will Resolve the question.
(d)
A question necessary to Resolve one or more elements of an Issue referred to
Stage 2 shall be referred back to the Regional CDS Committee to be Resolved in
accordance with the Stage 3 procedures in Rule 2105 in any of the following
circumstances:
(i)
the Dispute Resolver does not issue his or her decision with respect to the
question within the time period described in Rule 2104-03(a);
(ii)
ICE Clear Credit determines that the Dispute Resolver has deviated from
the requirements set forth in Rule 2104-02(a); or
(iii)
the Dispute Resolver informs the Regional CDS Committee and ICE Clear
Credit that he or she is unable to reach a decision with respect to the
question.
In the case of clause (iii), the Dispute Resolver shall not explain his or her
reasoning for being unable to reach a decision.
(e)
ICE Clear Credit may make publicly available any final decision made by the
Dispute Resolver.
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2104-03.
(a)
Dispute Resolution Schedule.
The following schedule will apply to the dispute resolution procedures unless
modified as described below:
(i)
Within one CDS Regional Business Day of an Issue being referred to
Stage 2, the Dispute Resolver shall, if required by Rule 2103-03(c), select
the phrasing of any question necessary to Resolve one or more elements
of an Issue and communicate the selected phrasing to the Advocates and
ICE Clear Credit.
(ii)
Within two CDS Regional Business Days of an Issue being referred to
Stage 2, the Dispute Resolver and the Advocates shall hold an
administrative meeting (an "Administrative Meeting").
(iii)
Written Materials shall be submitted to the Dispute Resolver no more than
five CDS Regional Business Days after the Issue is referred to Stage 2
(the “Submission Deadline”).
(iv)
Initial Oral Argument shall be heard at a time and on a CDS Regional
Business Day specified by the Dispute Resolver, but in no event before
the CDS Regional Business Day following the Submission Deadline.
(v)
After the initial Oral Argument and at the option of the Dispute Resolver,
additional Oral Argument may be heard at a time and on a CDS Regional
Business Day specified by the Dispute Resolver.
(vi)
The Dispute Resolver shall render his or her decision no later than four
CDS Regional Business Days after the Submission Deadline.
The schedule for dispute resolution may be modified either (A) by a Quorum
Stage 2 Supermajority vote of the Regional CDS Committee in favor of a
modification or (B) by ICE Clear Credit as it determines appropriate in light of
extenuating circumstances. The Regional CDS Committee or ICE Clear Credit,
as applicable, shall as soon as reasonably practicable notify the other and the
Dispute Resolver of any schedule modification.
2104-04.
(a)
Dispute Resolution Procedures.
The Regional CDS Participants who support a particular Presented Position shall
identify one or more persons to coordinate their activities, present their
arguments to the Dispute Resolver, and participate in Oral Arguments (the
“Advocates”) and shall notify ICE Clear Credit and the Dispute Resolver of the
identity and contact details of their Advocates. Advocates may, but need not, be
outside counsel selected by the relevant Regional CDS Participants.
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(b)
Any expenses incurred in connection with the support of a Presented Position
during the Stage 2 dispute resolution process, up to a maximum of $50,000 per
Presented Position (or such other amount specified by ICE Clear Credit) (the
“Reimbursement Amount”), will be borne on a pro rata basis by the Regional
CDS Participants for the relevant CDS Region. Any expenses in excess of the
Reimbursement Amount shall be borne by the Regional CDS Participant
incurring such expense unless the Regional CDS Participants supporting the
relevant Presented Position agree otherwise.
(c)
In addition to the Administrative Meeting scheduled under Rule 2104-03(a)(ii),
the Dispute Resolver may call other Administrative Meetings, in each case on no
less than three hours’ notice. Administrative Meetings may be commenced at any
time between 10:00 a.m. and 6:00 p.m. local time on a CDS Regional Business
Day, or at any other time agreed to by the Dispute Resolver and all Advocates.
All Advocates must be given the opportunity to be present at each Administrative
Meeting. Administrative Meetings may be held in person or by telephone or
videoconference.
(d)
At an Administrative Meeting or an Oral Argument, the Dispute Resolver may,
subject to the schedule for dispute resolution provided in Rule 2104-03(a), do
any of the following:
(e)
(i)
schedule the time and CDS Regional Business Day of an Oral Argument;
(ii)
establish or alter the place, duration, format or means of an Oral
Argument;
(iii)
alter the page limit of the Brief;
(iv)
request additional Written Materials or Oral Argument on a particular
subject or in response to argument previously made in Written Materials or
at Oral Argument; or
(v)
request or allow witness affidavits as Exhibits or witness testimony at Oral
Argument.
The materials that may be submitted to the Dispute Resolver by the Regional
CDS Participants in support of a Presented Position include the following
(collectively, the “Written Materials”):
(i)
a brief addressing the question before the Dispute Resolver consisting of
no more than twenty single-sided, double-spaced pages in Times New
Roman twelve-point font, with one inch margins (the “Brief”); and
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(ii)
any exhibits in support of the Brief (the “Exhibits”). Unless requested or
allowed by the Dispute Resolver, the Exhibits shall not contain any
witness affidavits or additional argument.
(f)
While an Issue is before the Dispute Resolver, no director, officer, employee or
agent of a Regional CDS Participant, or others acting on behalf of any such
director, officer, employee or agent, may communicate with the Dispute Resolver
except for the Advocates. There shall be no communications between the
Dispute Resolver and an Advocate unless all other Advocates are given the
opportunity to be present during such communication. For the avoidance of
doubt, written communication (whether transmitted by email, facsimile, or post)
between the Dispute Resolver and an Advocate must also be transmitted
contemporaneously to all other Advocates.
(g)
The Dispute Resolver shall hold one or more proceedings where the Advocates
may orally present argument in favor of their Presented Position (each such
proceeding an “Oral Argument”). Unless the Dispute Resolver has altered the
duration of Oral Argument under Rule 2104-04(d)(ii), the Advocates for each
Presented Position shall be allocated an aggregate of one hour in which to
present argument. All Advocates must be given the opportunity to be present for
the duration of an Oral Argument. Oral Argument may be held in person or by
videoconference, or by other means established by the Dispute Resolver under
Rule 2104-04(d)(ii). If requested or allowed by the Dispute Resolver, an Oral
Argument may include testimony by witnesses.
(h)
The place of dispute resolution shall be New York, New York. Notwithstanding
the foregoing, the Dispute Resolver may, after consultation with the Advocates,
conduct an in-person Administrative Meeting or Oral Argument at any location he
or she considers appropriate.
2105. Stage 3 – The Regional CDS Committee with Quorum Majority Vote.
2105-01.
General.
(a)
Promptly but in any event within one CDS Regional Business Day after a
question has been referred back to the Regional CDS Committee for resolution,
as provided in Rule 2102-02(a)(iii) or Rule 2104-02(d), ICE Clear Credit will call a
meeting of the Regional CDS Committee for purposes of holding a binding vote
from among the Presented Positions to Resolve the question. If a Quorum
Majority vote for a particular Presented Position, the question is considered
Resolved according to that Presented Position.
(b)
If, at the initial Stage 3 vote on a question, a Quorum Majority is not achieved for
any Presented Position, ICE Clear Credit will call a meeting of the Regional CDS
Committee on each subsequent CDS Regional Business Day for the purpose of
holding a binding vote from among the Presented Positions to Resolve the
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question until such time as a Quorum Majority vote for a particular Presented
Position. If a Quorum Majority vote for a particular Presented Position, the
question is considered Resolved according to that Presented Position.
(c)
In the case of votes subsequent to the initial vote, all Regional CDS Participants
shall be required to participate in the votes absent a written certification to ICE
Clear Credit by the relevant Regional CDS Participant that, in its judgment,
neither its Committee Member nor anyone else within the Regional CDS
Participant’s organization is appropriate to serve is such capacity. A Regional
CDS Participant may not provide such a written certification solely on the basis
that it does not trade the particular CDS Contract at issue.
2106. Additional Provisions.
2106-01.
Effect of Resolution of Issues by a Regional CDS Committee or
Dispute Resolver.
(a)
Under these CDS Committee Rules, the term “Resolved” means, with respect to
an Issue or an element thereof, that the answer to the Issue or such element is
binding on all members of ICE Clear Credit in respect of the CDS Contracts to
which such Issue relates. “Resolve” and “Resolves” will be construed
accordingly.
(b)
Any decision made by a Dispute Resolver in accordance with Rule 2104-02(c)
shall be enforceable under the Federal Dispute Resolution Act, Title 9 United
States Code.
2106-02.
CDS Committee Rule Amendments.
(a)
In addition to any otherwise applicable process to amend rules of ICE Clear
Credit, an Eligible Officer may amend these CDS Committee Rules to effect an
administrative change or to correct an error by notifying the Board and each
Regional CDS Committee of the proposed change. If there are no objections to
the amendment within 10 days of such notice that are CDS Regional Business
Days for all Regions, the amendment shall become effective. Promptly after an
amendment becomes effective, ICE Clear Credit shall distribute to the Board and
the Regional CDS Committees an updated copy of the CDS Committee Rules
showing the amendment.
(b)
Any Regional CDS Committee may recommend an amendment to these CDS
Committee Rules by providing to the Board or its designee the text of the
amendment along with detail regarding the vote in favor of the recommendation.
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2106-03.
Confidentiality.
(a)
Except as (i) expressly contemplated by these CDS Committee Rules or (ii) as
may be required by applicable law or court order or by a regulatory, selfregulatory or supervising authority having appropriate jurisdiction, each of the
Regional CDS Participants, Committee Members, Advocates, Panel Members
and Dispute Resolver (each a “Covered Party”) agrees (i) to maintain
confidentiality as to all aspects of these procedures, including, without limitation,
the presentation of any Issue to a Regional CDS Committee, any discussions,
deliberations, proceedings or results of any binding or non-binding vote relating
to an Issue, any Written Materials or Oral Arguments, or any determinations
produced by these proceedings (the “Confidential Material”) and (ii) not to use
any Confidential Material for its own benefit or the benefit of any of its Affiliates.
(b)
In the event that a Covered Party is served with or otherwise subject to legal
process (including subpoena or discovery notice) requiring it to testify about, to
produce, or otherwise to divulge Confidential Material, to the extent permitted by
law the Covered Party subject to such process will as soon as practicable inform
the provider(s) of such Confidential Material or the Regional CDS Participants to
which such Confidential Information relates (each a “Provider”) (or, if the
Covered Party is unsure of the Provider, will inform all Regional CDS Participants
for the relevant CDS Region) so that any Provider may seek a protective order or
other remedy. In the event that such protective order or other remedy has not
been obtained and the Covered Party is advised, in the opinion of counsel, that it
is legally compelled to disclose any of the Confidential Material, the Covered
Party may disclose only such Confidential Material so advised to be disclosed.
2106-04.
(a)
Waivers.
The provisions of Sections 9.1(c)(i), (c)(ii), (c)(iv) and (c)(v) of the 2003
Definitions (in the case of a 2003-Type CDS Contract) and Sections 11.1(c)(i),
(c)(ii), (c)(iii) or (c)(iv) of the 2014 Definitions (in the case of a 2014-Type CDS
Contract), as applicable, shall be incorporated by reference herein, with (i)
references therein to a DC Party deemed to refer to ICE Clear Credit (and its
directors, officers, employees and other representatives) and each Committee
Member, Regional CDS Participant, Panel Member, or Dispute Resolver and (ii)
references therein to the Rules, the Credit Derivatives Determinations
Committee, and DC Resolutions deemed to refer to these CDS Committee
Rules, the Regional CDS Committee or the Dispute Resolver, and Resolutions
by the Regional CDS Committee or the Dispute Resolver, respectively.
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22.
CDS PHYSICAL SETTLEMENT
The rules in this Chapter 22 apply to each CDS Contract for which the method of
settlement is Physical Settlement for a particular Credit Event in accordance with the
terms of such CDS Contract. Capitalized terms used but not otherwise defined in this
Chapter 22 shall have the meanings assigned to such terms in the relevant CDS
Contract.
2200. Definitions
Asset Package Delivery Notice
The notification required to be given by a protection buyer or to a protection seller
pursuant to Section 8.2 of the 2014 Definitions of the detailed description of the
Asset Package, if any, that it intends to Deliver to the protection seller in lieu of
the Prior Deliverable Obligation or Package Observable Bond, if any, specified in
the Notice of Physical Settlement or NOPS Amendment Notice, as applicable.
Matched Delivery Buyer
The Participant that is the Buyer in a Matched Delivery Pair.
Matched Delivery Buyer Contract
A CDS Contract (or part thereof) between a Matched Delivery Buyer for a
Matched Delivery Pair and ICE Clear Credit having a Floating Rate Payer
Calculation Amount equal to the MP Delivery Amount relating to that Matched
Delivery Pair.
Matched Delivery Contract
A Matched Delivery Seller Contract or a Matched Delivery Buyer Contract.
Matched Delivery Seller
The Participant that is the Seller in a Matched Delivery Pair.
Matched Delivery Seller Contract
A CDS Contract (or part thereof) between a Matched Delivery Seller for a
Matched Delivery Pair and ICE Clear Credit having a Floating Rate Payer
Calculation Amount equal to the MP Delivery Amount relating to that Matched
Delivery Pair.
MP Delivery Amount
An amount equal to the portion of a Floating Rate Payer Calculation Amount in
respect of which ICE Clear Credit matches a Matched Delivery Pair.
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2201. Notices of Physical Settlement.
(a)
If the method of settlement (including as a result of a fallback settlement method)
for a particular Credit Event under a CDS Contract is Physical Settlement (a
“Physically Settled CDS Contract”), ICE Clear Credit will match Buyers and
Sellers under a particular Physically Settled CDS Contract, as provided in the
ICE Clear Credit Procedures on the ICE Business Day following the date ICE
Clear Credit concludes or otherwise becomes aware that Physical Settlement
applies, in a manner that ICE Clear Credit determines is fair and equitable, which
may include allocating Floating Rate Payer Calculation Amounts to one or more
CDS Participants on the other side of the Physically Settled CDS Contract and, if
there is an imbalance between Buyers and Sellers due to a pending Closing-out
Process or otherwise, matching with ICE Clear Credit (each particular matched
Buyer and Seller, a “Matched Delivery Pair”); provided that, if the relevant
Credit Event is a Relevant Restructuring Credit Event, the Matched Delivery Pair
for a particular Triggered Restructuring CDS Contract that constitutes a
Physically Settled CDS Contract shall be the Matched Restructuring Pair for that
Triggered Restructuring CDS Contract. Except where the relevant Credit Event is
a Relevant Restructuring Credit Event, ICE Clear Credit will notify the relevant
Buyer and Seller of the identity of the other and provide details as to the
matching and the CDS Contract relating to the Matched Delivery Pair (such
notice, a “Matched Delivery Pair Notice”) and the associated MP Delivery
Amount.
If ICE Clear Credit has delivered a Matched Delivery Pair Notice that specified a
MP Delivery Amount that is less than the outstanding Floating Rate Payer
Calculation Amount applicable to the Matched Delivery Contract to which such
Matched Delivery Pair Notice relates, the relevant rights and obligations of ICE
Clear Credit and the relevant CDS Participant pursuant to the Matched Delivery
Contract shall, with effect from the date such Matched Pair Delivery Notice is
effective, be construed as if ICE Clear Credit and the relevant CDS Participant
have entered into two Physically Settled CDS Contracts, one of which has a
Floating Rate Payer Calculation Amount equal to the MP Delivery Amount and
the other of which has a Floating Rate Payer Calculation Amount equal to the
Floating Rate Payer Calculation Amount outstanding immediately prior to the
delivery of such Matched Delivery Pair Notice minus the MP Delivery Amount.
(b)
A Buyer may not deliver a Notice of Physical Settlement, NOPS Amendment
Notice or Asset Package Delivery Notice under a Physically Settled CDS
Contract except with respect to a Matched Delivery Pair, except as otherwise
provided in the ICE Clear Credit Procedures. With respect to a Matched Delivery
Pair, delivery of the Notice of Physical Settlement or Asset Package Delivery
Notice and any changes (including pursuant to a NOPS Amendment Notice) or
corrections to the Notice of Physical Settlement, NOPS Amendment Notice,
Asset Package Delivery Notice or portion thereof shall be made directly between
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the Buyer and Seller of the Matched Delivery Pair in accordance with the terms
of the Physically Settled CDS Contract and these Rules and the ICE Clear Credit
Procedures with copies thereof delivered to ICE Clear Credit in accordance with
the ICE Clear Credit Procedures in writing or in another manner permitted by ICE
Clear Credit. ICE Clear Credit shall be entitled to rely on, and shall have no
responsibility to any CDS Participant to verify in any manner the contents of any
Notice of Physical Settlement, NOPS Amendment Notice or Asset Package
Delivery Notice (or correction of any of the foregoing) delivered to it.
2202. Disputes Relating to Deliverable Obligations.
(a)
Prior to accepting Delivery of a particular obligation specified in a Notice of
Physical Settlement or NOPS Amendment Notice or, pursuant to an Asset
Package Delivery Notice, of a particular Asset or Assets as an Asset Package in
lieu of any Prior Deliverable Obligation or Package Observable Bond specified in
the Notice of Physical Settlement or NOPS Amendment Notice, a Seller in a
Matched Delivery Pair may present a dispute to the relevant Credit Derivatives
Determinations Committee or, subject to Rule 2101-02(d) and unless the
obligation, Prior Deliverable Obligation or Package Observable Bond, as the
case may be, is then listed as a Deliverable Obligation or a Permissible
Deliverable Obligation, as applicable, in the relevant Final List, the relevant
Regional CDS Committee as to whether the obligation, Prior Deliverable
Obligation or Package Observable Bond, as the case may be, is a Deliverable
Obligation or a Permissible Deliverable Obligation, if applicable, or whether the
relevant Asset(s) constitute or are part of an Asset Package, if applicable, under
the terms of the Physically Settled CDS Contract.
(b)
Any Seller in a Matched Delivery Pair may refuse to accept Delivery of a
particular obligation or Asset specified in a Notice of Physical Settlement, NOPS
Amendment Notice or Asset Package Delivery Notice, as the case may be, if any
Committee Member has presented a dispute to the relevant Regional CDS
Committee (that the Regional CDS Committee is entitled to consider pursuant to
Rule 2101-02(d)) or a question is pending before the relevant Credit Derivatives
Determinations Committee as to whether the obligation or Prior Deliverable
Obligation or Package Observable Bond, as the case may be, is a Deliverable
Obligation or a Permissible Deliverable Obligation, if applicable, or whether the
relevant Asset(s) constitute or are part of an Asset Package, if applicable, under
the terms of the Physically Settled CDS Contract, until such time as it is
Resolved by the applicable Regional CDS Committee (or applicable Dispute
Resolver) or the date the resolution by the relevant Credit Derivatives
Determinations Committee is publicly announced, as applicable, that such
obligation or Prior Deliverable Obligation or Package Observable Bond, as the
case may be, is a Deliverable Obligation or a Permissible Deliverable Obligation,
as applicable, under the terms of the Physically Settled CDS Contract or that
such Asset(s) constitute or are part of an Asset Package; provided that if the
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obligation, Prior Deliverable Obligation or Package Observable Bond, as the
case may be, is listed and remains listed as a Deliverable Obligation or, as
applicable, a Permissible Deliverable Obligation in the Final List of Deliverable
Obligations which is applicable to that Physically Settled CDS Contract as of the
applicable Delivery Date for such Deliverable Obligation or Permissible
Deliverable Obligation, no such challenge may delay the acceptance by such
Seller of such obligation or Asset Package. Upon any such refusal by a Seller,
ICE Clear Credit shall be entitled to similarly refuse to accept delivery of such
obligation or Asset under the corresponding Matched Delivery Buyer Contract.
(c)
ICE Clear Credit shall notify all CDS Participants of any dispute presented to the
relevant Regional CDS Committee as to whether an obligation or Prior
Deliverable Obligation or Package Observable Bond, as the case may be, is a
Deliverable Obligation or a Permissible Deliverable Obligation, if applicable, or
whether an Asset constitutes or is part of an Asset Package, if applicable, under
the terms of a Physically Settled CDS Contract. Any Seller proposing to refuse to
accept Delivery as referred to in paragraph (b) above must give notice forthwith
to ICE Clear Credit and to the relevant Matched Delivery Buyer, specifying the
Matched Delivery Contracts to which the refusal relates. Delivery of such notice
by the Matched Delivery Seller to the Matched Delivery Buyer shall constitute
notice from ICE Clear Credit to the Matched Delivery Buyer of ICE Clear Credit’s
refusal to accept Delivery of the relevant obligation under the Matched Delivery
Buyer Contract.
(d)
As they relate to an obligation for which a dispute has been presented to the
relevant Regional CDS Committee or the relevant Credit Derivatives
Determinations Committee as to whether the obligation (or, if applicable, Prior
Deliverable Obligation or Package Observable Bond) is a Deliverable Obligation
or a Permissible Deliverable Obligation, if applicable, or as to whether the
relevant Asset(s) constitute or are part of an Asset Package, if applicable, under
the terms of the Physically Settled CDS Contract, time periods and related rights
and remedies relating to Physical Settlement, for example, under Sections 9.9
and 9.10 of the 2003 Definitions (in the case of a 2003-Type CDS Contract) or
Sections 9.7, 9.8 and 9.9 of the 2014 Definitions (in the case of a 2014-Type
CDS Contract) and any applicable cap on settlement, shall be tolled for the
period commencing on the date the dispute is first presented until the date of the
relevant actual decision to Resolve (i.e., determined without regard to any
Effectiveness Convention or any time of effectiveness specified in a Presented
Position) or the date the resolution by the relevant Credit Derivatives
Determinations Committee is announced, as applicable, whether or not such
obligation (or, if applicable, Prior Deliverable Obligation or Package Observable
Bond) is a Deliverable Obligation or a Permissible Deliverable Obligation, as
applicable, or whether or not such Asset(s) constitute or are part of an Asset
Package, as applicable, under the terms of the Physically Settled CDS Contract.
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For the avoidance of doubt, such tolling shall apply to both the Matched Delivery
Buyer Contract and Matched Delivery Seller Contract.
2203. Matched Delivery Pairs; Notice of Deliveries.
(a)
In respect of each Matched Delivery Buyer Contract which is the subject of a
Matched Delivery Pair, ICE Clear Credit, pursuant to Section 9.2(c)(iv) of the
2003 Definitions or Section 11.2(c)(iv) of the 2014 Definitions, as applicable
(each as may be modified in the ICE Clear Credit Procedures), as designator,
shall be deemed to have designated the Matched Delivery Seller in such
Matched Delivery Pair as its designee:
(i)
to receive on its behalf from the Matched Delivery Buyer in the Matched
Delivery Pair Notices of Physical Settlement (and any NOPS Amendment
Notices or Asset Package Delivery Notices) and any changes or
corrections thereto or other notices related to physical settlement (or any
fallback with respect thereto) in relation to such Matched Delivery Buyer
Contract;
(ii)
to deliver on its behalf to the Matched Delivery Buyer in the Matched
Delivery Pair any notices related to physical settlement (or any fallback
with respect thereto) in relation to such Matched Delivery Seller Contract;
(iii)
other than in respect of the Physical Settlement Amount relating to the
settlement of Non DVP Obligations, as referred to in Rule 2204, to pay, on
behalf of ICE Clear Credit, the applicable Physical Settlement Amount (or
relevant portion thereof) in respect of the Matched Delivery Buyer
Contract;
(iv)
to pay to the Matched Delivery Buyer and receive from the Matched
Delivery Buyer, in either case on behalf of ICE Clear Credit, any amounts
in respect of the costs and expenses of settlement due under the Matched
Delivery Buyer Contract; and
(v)
to take Delivery, on behalf of ICE Clear Credit, of Deliverable Obligations
(or, if applicable, Asset Packages) from the Matched Delivery Buyer in
respect of the Matched Delivery Buyer Contract,
and the Matched Delivery Seller in each such Matched Delivery Pair is hereby
notified of the same accordingly. The Matched Delivery Seller in the Matched
Delivery Pair shall assume such obligations as designee upon delivery of a
Matched Delivery Pair Notice.
(b)
In respect of each Matched Delivery Seller Contract which is the subject of a
Matched Delivery Pair, ICE Clear Credit, pursuant to Section 9.2(c)(iv) of the
2003 Definitions or Section 11.2(c)(iv) of the 2014 Definitions, as applicable
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(each as may be modified in the ICE Clear Credit Procedures), as designator,
shall be deemed to have designated the Matched Delivery Buyer in such
Matched Delivery Pair as its designee:
(i)
to receive on its behalf from the Matched Delivery Seller in the Matched
Delivery Pair any notices related to physical settlement (or any fallback
with respect thereto) in relation to such Matched Delivery Seller Contract.
(ii)
to deliver on its behalf to the Matched Delivery Seller in the Matched
Delivery Pair Notices of Physical Settlement (and any NOPS Amendment
Notices or Asset Package Delivery Notices) and any changes or
corrections thereto or other notices related to physical settlement (or any
fallback with respect thereto) in relation to such Matched Delivery Seller
Contract;
(iii)
other than in respect of the Physical Settlement Amount relating to the
settlement of Non DVP Obligations, as referred to in Rule 2204, to receive
payment, on behalf of ICE Clear Credit, of the applicable Physical
Settlement Amount (or relevant portion thereof) from the Matched Delivery
Seller in respect of the Matched Delivery Seller Contract;
(iv)
to pay to the Matched Delivery Seller and receive from the Matched
Delivery Seller, in either case on behalf of ICE Clear Credit, any amounts
in respect of the costs and expenses of settlement due under the Matched
Delivery Seller Contract; and
(v)
to Deliver, on behalf of ICE Clear Credit, the relevant Deliverable
Obligations (or, if applicable Asset Packages) to the Seller in respect of
the Matched Delivery Seller Contract,
and the Matched Delivery Buyer in each such Matched Delivery Pair is hereby
notified of the same accordingly. The Matched Delivery Buyer in the Matched
Delivery Pair shall assume such obligations as designee upon delivery of a
Matched Delivery Pair Notice.
(c)
With respect to any rights exercised in relation to any Matched Delivery Pair
(except as otherwise expressly provided herein):
(i)
the exercise of any rights by the Matched Delivery Buyer against ICE
Clear Credit under a Matched Delivery Buyer Contract shall be deemed to
constitute the exercise of equal and simultaneous rights by ICE Clear
Credit against the Matched Delivery Seller under the Matched Delivery
Seller Contract in the relevant Matched Delivery Pair;
(ii)
the exercise of any rights by the Matched Delivery Seller against ICE
Clear Credit under a Matched Delivery Seller Contract shall be deemed to
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constitute the exercise of equal and simultaneous rights by ICE Clear
Credit against the Matched Delivery Buyer under the Matched Delivery
Buyer Contract in the relevant Matched Delivery Pair;
(iii)
where the Matched Delivery Buyer validly delivers or serves any notice to
or on the Matched Delivery Seller in accordance with the terms of the
relevant CDS Contract, such notice shall be effective with respect to both
the Matched Delivery Buyer Contract and the Matched Delivery Seller
Contract; and
(iv)
where the Matched Delivery Seller validly delivers or serves any notice to
or on the Matched Delivery Buyer in accordance with the terms of the
relevant CDS Contract, such notice shall be effective with respect to both
the Matched Delivery Seller Contract and the Matched Delivery Buyer
Contract.
(d)
The parties to a Matched Delivery Pair shall notify ICE Clear Credit in
accordance with the procedures it establishes for this purpose of the completion
of any Delivery under a CDS Contract that is the subject of a Matched Delivery
Pair or if they have otherwise settled all or part of such CDS Contract, identifying
the relevant amount, Deliverable Obligation (or, if applicable, Asset Package)
and Matched Delivery Pair. Any such notice shall constitute a representation by
the Participant delivering the notice that, so far as it is aware, physical settlement
has occurred successfully and that there are no outstanding claims known to it in
respect of the Matched Delivery Contract (except as may be disclosed in such
notice), but is otherwise without prejudice to the rights of any party to a Matched
Delivery Contract in respect of settlement.
(e)
Following delivery by a Matched Delivery Buyer or Matched Delivery Seller of
any notice of a nature referred to in this Rule 2203(b), (c) or (d) (any such notice,
an "MP Delivery Notice"), the CDS Participant that delivered such MP Delivery
Notice shall, at the times and in the circumstances specified by ICE Clear Credit,
deliver a written copy of such MP Delivery Notice to ICE Clear Credit. Any CDS
Participant in a Matched Delivery Pair which disputes any MP Delivery Notice
must inform ICE Clear Credit. Unless ICE Clear Credit receives a notice
disputing an MP Delivery Notice, ICE Clear Credit will update its records and act
in reliance on such MP Delivery Notice. ICE Clear Credit shall not be obliged to
act upon any disputed MP Delivery Notice until the relevant dispute has been
resolved.
(f)
The Matched Delivery Buyer and Matched Delivery Seller in each Matched
Delivery Pair shall each make such payments and deliveries and deliver such
notices in relation to settlement to one another and to ICE Clear Credit as are
required pursuant to a Matched Delivery Contract, these Rules, the ICE Clear
Credit Procedures or applicable law; provided that if Asset Package Delivery is
applicable in respect of a Prior Deliverable Obligation or Package Observable
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Bond specified in the relevant Notice of Physical Settlement or NOPS
Amendment Notice (as the case may be) and the Matched Deliver Buyer has
complied with its obligations to give an Asset Package Delivery Notice, then in
circumstances where the Asset Package is deemed to be zero, settlement shall
be deemed to occur on a delivery-versus-payment basis in accordance with the
timetable set out in Section 8.12(b)(iii) of the 2014 Definitions.
(g)
If ICE Clear Credit incurs actual costs or expenses of settlement in respect of a
Matched Delivery Contract, the Matched Delivery Seller or the Matched Delivery
Buyer in the Matched Pair (as applicable, being in any case the person in the
Matched Pair that would incur or be liable for such costs or expenses were the
Matched Pair to have been a CDS transaction between the Matched Delivery
Seller and the Matched Delivery Buyer) shall be liable to reimburse ICE Clear
Credit in respect of such costs or expenses.
2204. Physical Settlement of Non DVP Obligations under CDS Contracts with
respect to Matched Delivery Pairs.
In respect of any Matched Delivery Pair, if any Deliverable Obligations or Asset
Packages to be Delivered by the Matched Delivery Buyer to the Matched
Delivery Seller are reasonably believed by such Buyer not to settle in the
ordinary course on a delivery-versus-payment basis (or are not deemed to settle
on such basis pursuant to Rule 2203(f)) (such Deliverable Obligations or Asset
Package, “Non DVP Obligations”) (as notified by such Matched Delivery Buyer
to both the Matched Delivery Seller and ICE Clear Credit upon delivering any
Notice of Physical Settlement, NOPS Amendment Notice or Asset Package
Delivery Notice), Delivery of such Non DVP Obligations and payment of the
related Physical Settlement Amount or portion thereof (the “Non DVP MP
Amount”), each relating to the relevant portion of the MP Delivery Amount
thereunder shall take place as follows and in accordance with the procedures
ICE Clear Credit establishes for this purpose:
(i)
the Matched Delivery Buyer shall notify ICE Clear Credit that it is ready to
Deliver to the Matched Delivery Seller the Non DVP Obligations and the
outstanding principal balance (or, if applicable, Due and Payable Amount)
thereof to be Delivered in respect of such Non DVP MP Amount;
(ii)
following receipt of a valid notification pursuant to Rule 2204(i), ICE Clear
Credit shall request that the Matched Delivery Seller pay the Non DVP MP
Amount relating to such Non DVP Obligations to ICE Clear Credit;
(iii)
following receipt of a request under Rule 2204(ii), the Matched Delivery
Seller shall transfer the Non DVP MP Amount relating to such Non DVP
Obligations to ICE Clear Credit;
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(iv)
following receipt of such Non DVP MP Amount in immediately available
funds, ICE Clear Credit shall notify the Matched Delivery Buyer that it is
holding the Non DVP MP Amount relating to such Non DVP Obligations
from the Matched Delivery Seller in the Matched Delivery Pair;
(v)
following receipt of the notice under Rule 2204(iv), Matched Delivery
Buyer shall Deliver the relevant Non DVP Obligations to the Matched
Delivery Seller;
(vi)
following its receipt of Delivery of the relevant Non DVP Obligations, the
Matched Delivery Seller shall deliver a notice to ICE Clear Credit in the
form required by ICE Clear Credit from time to time specifying that the
Delivery has occurred, in full or, if in part, the percentage of the Non DVP
MP Amount (the “Delivered Percentage”) in respect of which Delivery
has occurred;
(vii)
following its receipt of a valid notice under Rule 2204 (vi), ICE Clear Credit
shall pay an amount equal to the Non DVP MP amount (or, where the
Matched Delivery Seller notified ICE Clear Credit of Delivery in part only,
an amount equal to the Delivered Percentage of the Non DVP MP
Amount) received from the Matched Delivery Seller to the Matched
Delivery Buyer;
(viii)
if the Matched Delivery Buyer does not Deliver the Non DVP Obligations
in an amount at least equal to the relevant Non DVP MP Amount to the
Matched Delivery Seller within the required period specified by ICE Clear
Credit in its procedures for compliance with Rule 2204(v) (“Delivery
Period”), the Matched Delivery Seller may request that ICE Clear Credit
repay to the Matched Delivery Seller the Non DVP MP Amount, less the
Delivered Percentage of the Non DVP MP Amount; and
(ix)
ICE Clear Credit shall pay to the Matched Delivery Seller interest accrued
on the Non DVP MP Amount related to the Non DVP Obligations for the
period it has been held by ICE Clear Credit calculated by reference to ICE
Clear Credit’s rate for overnight deposits, if any, in the relevant currency.
The process set out in this Rule 2204 may, subject to the terms of the relevant
CDS Contract, be repeated in relation to any Non DVP Obligations not in fact
delivered during a relevant Delivery Period.
2205. Failure to Pay Physical Settlement Amount; Cash Settlement; Failure to
Deliver
(a)
If, in relation to any Matched Delivery Pair, a Matched Delivery Seller fails to pay
all or part of the Physical Settlement Amount either to the Buyer or (where Rule
2204 applies) to ICE Clear Credit when, in accordance with the terms of the
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relevant CDS Contract, it was obliged to pay such amount (a “Physical
Settlement Amount Failure”, and the amount not being paid being the “Failed
Amount”):
(i)
the Matched Delivery Buyer may and the Matched Delivery Seller shall, as
soon as practicable, give notice in writing to ICE Clear Credit, giving all
material details of the relevant CDS Contracts involved, of the failure to
pay and the Failed Amount and any material details of the amount of a
Physical Settlement Amount paid in part;
(ii)
such failure to pay shall not constitute or be deemed to constitute an ICE
Clear Credit Default under these Rules or the applicable terms of any
relevant CDS Contract;
(iii)
the Matched Delivery Seller will be deemed to have failed to pay an
amount equal to the Failed Amount to ICE Clear Credit under the terms of
the relevant CDS Contract;
(iv)
“Cash Settlement” between such Matched Delivery Buyer and ICE Clear
Credit pursuant to the Partial Cash Settlement Terms (set out in Section
9.8 of the 2003 Definitions or Section 9.6 of the 2014 Definitions, as
applicable, each as amended by these Rules) shall be deemed to apply to
the Matched Delivery Buyer Contract with respect to the Deliverable
Obligations corresponding to the Failed Amount as though:
(A)
the Deliverable Obligations not Delivered were Undeliverable
Obligations;
(B)
the Latest Permissible Physical Settlement Date were the date on
which the Matched Delivery Buyer gave notice to ICE Clear Credit
of the failure to pay by the Matched Delivery Seller;
(C)
Indicative Quotations were not applicable; and
(D)
the Matched Delivery Buyer were the Calculation Agent,
and ICE Clear Credit and the Buyer in the Matched Delivery Pair will settle the
relevant CDS Contract accordingly and Rule 2203 will not apply.
(b)
Without limiting ICE Clear Credit’s rights under Rule 20-605 or otherwise under
these Rules, in the event of a Physical Settlement Amount Failure with respect to
a Matched Delivery Seller Contract, ICE Clear Credit shall be entitled to
terminate the Matched Delivery Seller Contract by notice to the Matched Delivery
Seller, in which case (i) the Matched Delivery Seller shall be obligated to pay to
ICE Clear Credit in respect of such termination an amount equal to any Cash
Settlement Amount payable by ICE Clear Credit to the Matched Delivery Buyer
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pursuant to paragraph (a)(iv) above together with any other losses, costs and
expenses incurred by ICE Clear Credit as a result of such Physical Settlement
Amount Failure, (ii) ICE Clear Credit will be entitled to apply Physical Settlement
Margin (together with other available Margin) provided by such Matched Delivery
Seller to the payment of such amounts and (iii) ICE Clear Credit shall have no
further obligations in respect of such Matched Delivery Seller Contract, including
any obligation to deliver any Deliverable Obligations.
(c)
For the avoidance of doubt, and in furtherance of Section 9.2(c)(ii) of the 2003
Definitions or Section 11.2(c)(ii) of the 2014 Definitions, as applicable, the failure
of ICE Clear Credit to deliver any Deliverable Obligations under a Matched
Delivery Seller Contract (including without limitation as a result of a failure by the
Matched Delivery Buyer to Deliver Deliverable Obligations to the Matched
Delivery Seller as set forth in Rule 2203) shall not constitute an ICE Clear Credit
Default, and the Matched Delivery Seller’s sole remedy as against ICE Clear
Credit in respect of such failure shall be as provided under the Matched Delivery
Seller Contract and these Rules. ICE Clear Credit shall have no obligation to
purchase or acquire any Deliverable Obligation (other than in settlement of the
Matched Delivery Buyer Contract) in order to settle the Matched Delivery Seller
Contract. If any such failure by ICE Clear Credit results from a failure by the
Matched Delivery Buyer to Deliver the relevant Deliverable Obligations under the
Matched Delivery Buyer Contract, then without limiting ICE Clear Credit’s other
rights and remedies under the Rules, such Matched Delivery Buyer shall be
obligated to pay to ICE Clear Credit (without duplication of other amounts owed)
all losses, costs and expenses incurred by ICE Clear Credit in settling the
Matched Delivery Seller Contract.
2206. Fallback in Respect of Non-Deliverable Obligations; Cash Settlement
(a)
If the Matched Delivery Buyer is not permitted to deliver a Deliverable Obligation
or Asset Package (other than a Non-Transferable Instrument or Non-Financial
Instrument) (such Deliverable Obligations or Asset Package, the “NonDeliverable Obligations”) specified in the relevant Notice of Physical
Settlement, NOPS Amendment Notice or Asset Package Delivery Notice, as
applicable, to the related Matched Delivery Seller because (i) the amount of such
Deliverable Obligation is less than the relevant minimum denomination of such
Deliverable Obligation or (ii) the Seller in the Matched Delivery Pair is not a
permitted transferee under such Deliverable Obligation, in any case on the
relevant Physical Settlement Date, it shall be treated as an illegality or
impossibility outside the parties’ control for the purpose of Section 9.3 of the
2003 Definitions or Section 9.1 of the 2014 Definitions, as applicable.
(b)
Upon notice being given to ICE Clear Credit by the Buyer in the Matched
Delivery Pair of the deemed illegality or impossibility with respect to the Seller in
the Matched Delivery Pair pursuant to Rule 2206(a), “Cash Settlement” pursuant
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to the Partial Cash Settlement Terms (set out in Section 9.8 of the 2003
Definitions or Section 9.6 of the 2014 Definitions, as applicable, each as
amended by these Rules) shall be deemed to apply to both Matched Delivery
Contracts subject to the Matched Delivery Pair with respect to the NonDeliverable Obligations as though:
(i)
the Non-Deliverable Obligations were Undeliverable Obligations;
(ii)
the Latest Permissible Physical Settlement Date were the date that
is 30 calendar days after the Physical Settlement Date ;
(iii)
in the case of Rule 2206(a)(ii) above, Indicative Quotations were
not applicable; and
(iv)
the Buyer in the Matched Delivery Pair were the Calculation Agent.
(c)
Except as otherwise provided herein, in circumstances where a Cash Settlement
fallback applies to both Matched Delivery Contracts, (i) the same Cash
Settlement Amount shall apply to both such Matched Delivery Contracts and (ii)
ICE Clear Credit and the Matched Delivery Buyer will settle the relevant Matched
Delivery Buyer Contract as between the two of them, and ICE Clear Credit and
the Matched Delivery Seller will settle the relevant Matched Delivery Seller
Contract as between the two of them, accordingly as though references to the
Physical Settlement Amount in Rule 2203(a) and (b) were references to the Cash
Settlement Amount. Where Section 9.9 of the 2003 Definitions or Section 9.7 of
the 2014 Definitions, as applicable, applies to both Matched Delivery Contracts
and a Buy-In Price is determined by the Matched Delivery Seller (or on its behalf)
in accordance with the terms of the CDS Contract, the same Buy-In Price will
apply to both Matched Delivery Contracts.
(d)
With respect to a Matched Delivery Buyer Contract for which the Matched
Delivery Buyer is acting for a Non-Participant Party, if (i) circumstances exist
such that if there were a bilateral CDS Contract between such Non-Participant
Party and Matched Delivery Buyer on terms equivalent to such Matched Delivery
Buyer Contract, a fallback to Cash Settlement under such bilateral contract would
apply pursuant to Article 9 of the Applicable Credit Derivatives Definitions or
subparagraph (a) above, and (ii) Matched Delivery Buyer provides a certification
to ICE Clear Credit and the Matched Delivery Seller to that effect with reasonable
detail as to the circumstances thereof, then Matched Delivery Buyer may elect
that such Cash Settlement fallback will apply to both the Matched Delivery Buyer
Contract and Matched Delivery Seller Contract as otherwise set forth in these
Rules and the terms of the CDS Contract.
(e)
If Cash Settlement applies to a Matched Delivery Contract, the party entitled to
determine the Cash Settlement Amount under the terms thereof shall notify the
other party or parties in the Matched Delivery Pair and ICE Clear Credit promptly
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following its determination of such amount. The Cash Settlement Date shall be
the third ICE Business Day after the date such notice is delivered (or if such third
ICE Business Day is not a banking day for the relevant currency, the first
succeeding ICE Business Day that is a banking day for such currency).
2207. Amendment of the Applicable Credit Derivatives Definitions
(a)
(b)
For the purposes of Rule 2203 and 2204 and without prejudice to the
representations given by ICE Clear Credit and Participants to one another
pursuant to the terms of the CDS Contract and the Rules, Section 9.2(a), 9.2(b),
9.2(c)(i) and 9.2(c)(iv) of the 2003 Definitions, or Section 11.2(a), 11.2(b),
11.2(c)(i) and 11.2(c)(iv), as applicable, shall apply as between the Matched
Delivery Buyer and Matched Delivery Seller in respect of a Matched Delivery Pair
as though they were the Buyer and Seller under a CDS Contract respectively,
and Section 9.2(c)(iv) of the 2003 Definitions or Section 11.2(c)(iv) of the 2014
Definitions, as applicable, as incorporated in any CDS Contract shall be
amended such that:
(i)
where ICE Clear Credit is the designator, it is permitted to designate any
Participant specified in Rule 2203 and 2204 as its designee,
notwithstanding that it is not an Affiliate;
(ii)
the phrase “deliver or receive any Notice of Physical Settlement (or NOPS
Amendment Notice or Asset Package Delivery Notice) or Deliver or take
Delivery or pay or receive payment of the Physical Settlement Amount”
were written in place of the phrase “Deliver or take Delivery”; and
(iii)
the phrase “such delivery, receipt, Delivery or payment” were written in
place of the phrase “such Delivery”.
Solely for purposes of Rules 2205 and 2206(b), Section 9.8(k) of the 2003
Definitions or Section 9.6(k) of the 2014 Definitions, as applicable, is amended by
inserting the following new clause (i) at the beginning thereof and renumbering
the following clauses:
“(i)
For the purposes hereof, in addition to the requirements of Section 7.10,
each firm Quotation shall:
(A)
be for a transaction with the Matched Delivery Buyer (or its
designee) (the "Relevant Buyer") in which, the Relevant Buyer
agrees to Deliver the Deliverable Obligations to the Dealer
submitting the firm quotation (the "Quoting Dealer"), which
transaction shall be governed by documentation that is consistent
with market practice applicable to the sale and purchase of
Deliverable Obligations (or, if applicable, Asset Package) on the
Valuation Date (which may be determined by the Determining
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Body), including without limitation a representation that the Quoting
Dealer has completed all "know your customer" or similar
requirements under all applicable laws, regulations and internal
compliance procedures relating to a transaction with the Relevant
Buyer and on the Reference Entity;
(B)
be capable of acceptance by the Relevant Buyer (for such
purposes, each firm Quotation must, inter alia, be obtained from a
Dealer with whom the Relevant Buyer in its sole and absolute
discretion determines that it is able in accordance with all its
internal compliance and policy requirements to transact and to
Deliver the Deliverable Obligations (or, if applicable, Asset
Package)) and be open for acceptance to the relevant party for at
least 30 minutes; and
(C)
be obtained on the basis that if the Relevant Buyer agrees to
Deliver the Deliverable Obligations (or, if applicable, Asset
Package) to such Quoting Dealer on the terms set forth herein,
such Quoting Dealer agrees to pay the settlement amount
(calculated and payable for this purpose in accordance with the
relevant market standard documentation and based on the price so
quoted) that would be payable for such Deliverable Obligations (or,
if applicable, Asset Package) to the Relevant Buyer,
provided that:(D)
if Rule 2205 applies: (I) on the same Business Day that the
Matched Delivery Buyer (as if it were Calculation Agent) has
attempted to obtain all Quotations that the Calculation Agent is
required to attempt to obtain in accordance with this subsection (k),
the Matched Delivery Buyer shall offer ICE Clear Credit the
opportunity to provide a Quotation as if ICE Clear Credit were a
Dealer in accordance with this subsection (k); and (II) if the
Quotation provided by ICE Clear Credit is higher than any
Quotation obtained by the Matched Delivery Buyer (as if it were
Calculation Agent) from the Dealers in accordance with this
subsection (k) (including, for the avoidance of doubt any Weighted
Average Quotation) such Quotation shall be deemed be the
Highest Quotation and the Matched Delivery Buyer (as if it were
Calculation Agent) shall use such Quotation to determine the Final
Price; and
(E)
if Rule 2206(a)(ii) applies: (I) on the same Business Day that the
Matched Delivery Buyer (as if it were Calculation Agent) has
attempted to obtain all Quotations that the Calculation Agent is
required to attempt to obtain in accordance with this subsection (k),
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the Matched Delivery Buyer shall offer ICE Clear Credit the
opportunity to provide a Quotation as if ICE Clear Credit were a
Dealer in accordance with this subsection (k); and (II) if the
Quotation provided by ICE Clear Credit is higher than any
Quotation obtained by the Matched Delivery Buyer (as if it were
Calculation Agent) from the Dealers in accordance with this
subsection (k) (including, for the avoidance of doubt any Weighted
Average Quotation) such Quotation shall be deemed be the
Highest Quotation and the Matched Delivery Buyer (as if it were
Calculation Agent) shall use such Quotation to determine the Final
Price.
In the case of (D) or (E), subsection (k)(iii) will not apply. If the Matched
Delivery Buyer (as if it were Calculation Agent) is unable to obtain two or
more Full Quotations (or a Quotation from ICE Clear Credit as provided
above) or a Weighted Average Quotation on the same Business Day on or
prior to the tenth Business Day following the applicable Valuation Date,
the Quotations shall be deemed to be any Full Quotation obtained from a
Dealer at the Valuation Time on such tenth Business Day or, if no Full
Quotation is obtained, the weighted average of any firm quotations
obtained from Dealers at the Valuation Time on such tenth Business Day
with respect to the aggregate portion of the Quotation Amount for which
such quotations were obtained and a quotation deemed to be zero for the
balance of the Quotation Amount for which firm quotations were not
obtained on such day.”
2208. CDS Alternative Delivery or Settlement Procedure
(a)
The Matched Delivery Buyer and Matched Delivery Seller in any Matched
Delivery Pair may, in accordance with the ICE Clear Credit Procedures, elect to
settle their rights and obligations in relation to such Matched Delivery Pair, in
whole but not in part, as between each other (or any Non-Participant Parties for
which they act) outside of ICE Clear Credit and other than pursuant to this
Chapter 22 (a “CADP”). For a CADP to be effective, the Matched Delivery Buyer
and Matched Delivery Seller must jointly provide ICE Clear Credit with a CADP
Notice specifying the Matched Delivery Contracts subject to the CADP, and
obtain the consent of ICE Clear Credit to such CADP, which consent shall not be
unreasonably withheld or delayed. ICE Clear Credit shall respond to any CADP
Notice (including its consent to CADP or otherwise) within one ICE Clear Credit
Business Day of receipt thereof.
(b)
With effect from the time that ICE Clear Credit grants its consent to a CADP, the
relevant Matched Delivery Contracts will be deemed terminated. In such
circumstances, Rules 2203-2207 shall not apply to such Matched Delivery
Contracts, and the Matched Delivery Buyer and Matched Delivery Seller shall be
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liable to satisfy their obligations to each other in respect of such CADP bilaterally
pursuant to such arrangements or agreements as they may establish or agree
between them. For the avoidance of doubt, ICE Clear Credit shall have no
liability or responsibility for performance of such obligations in respect of a CADP
or the Matched Delivery Contracts terminated in connection with a CADP.
2209. Margin For Physically Settled CDS Contracts
(a)
Initial Margin, Mark-to-Market Margin and Physical Settlement Margin, as
determined by ICE Clear Credit in accordance with these Rules, shall continue to
be called and payable in relation to any Physically Settled CDS Contract except
to the extent that: (i) the Physical Settlement Amount has been paid to ICE Clear
Credit in immediately available funds and not returned to the Matched Delivery
Seller as referred to in Rule 2204; or (ii) the Physical Settlement Amount has
been paid to the relevant Matched Delivery Buyer as designee of ICE Clear
Credit pursuant to Rule 2203 and such designee has notified ICE Clear Credit
that physical settlement is complete in accordance with Rule 2203(e).
(b)
Where any Physical Settlement Amount is payable to ICE Clear Credit under
Rule 2204 by a Matched Delivery Seller, ICE Clear Credit acknowledges and
agrees that it will apply any Physical Settlement Margin or other available funds
on account in order to satisfy the obligation to pay the Physical Settlement
Amount and shall only call the Matched Delivery Seller for additional cash to the
extent that relevant Physical Settlement Margin is less than the Physical
Settlement Amount.
(c)
Margin transferred to ICE Clear Credit by a Participant in respect of a Matched
Delivery Contract shall be released by ICE Clear Credit after the time at which
both the Matched Delivery Buyer and Matched Delivery Seller have notified ICE
Clear Credit of the completion of settlement in accordance with Rule 2203(e).
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23-25. [RESERVED]
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26.
CLEARED CDS PRODUCTS
The Subchapters of this Chapter 26 define the particular characteristics of and any
additional Rules applicable to the various CDS Contracts cleared by ICE Clear Credit.
26A. CDX Untranched North American IG/HY/XO.
The rules in this Subchapter 26A apply to the clearance of CDX.NA Untranched
Contracts.
26A-102.
Definitions.
CDX.NA Untranched Contract
A credit default swap in respect of any Eligible CDX.NA Untranched Index and
governed by any CDX.NA Untranched Terms Supplement. A CDX.NA
Untranched Contract is a CDS Contract for purposes of Chapter 20.
CDX.NA Untranched Publisher
Markit North America, Inc., as successor to CDS IndexCo LLC, or any successor
sponsor of the Eligible CDX.NA Untranched Indexes it publishes.
CDX.NA Untranched Rules
The rules set forth in Chapters 1 through 8 and 20 through 22, inclusive, as
modified by the provisions of this Subchapter 26A.
CDX.NA Untranched Terms Supplement
Each of the following:
(a)
The “CDX Untranched Transactions Standard Terms Supplement”,
as published by CDS IndexCo LLC on March 20, 2008 (the “March 2008
Supplement”).
(b)
The “CDX Untranched Transactions Standard Terms Supplement”,
as published by Markit North America, Inc. on January 31, 2011 (the
“January 2011 Supplement”).
(c)
The “CDX Untranched Transactions Standard Terms Supplement”,
as published on or about September 20, 2014 (the “New 2014
Supplement”).
(d)
The “CDX Legacy Untranched Transactions Standard Terms
Supplement, as published on or about September 20, 2014 (the “Legacy
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2014 Supplement”, and together with the New 2014 Supplement, the
“2014 Supplements”).
(e)
Such other supplement as may be specified in relation to any
Eligible CDX.NA Untranched Index by ICE Clear Credit, including any
successor to any of the documents listed in subparagraphs (a), (b), (c) or
(d) of this definition.
Eligible CDX.NA Untranched Index
Each particular series and version of a CDX.NA index or sub-index, as published
by the CDX.NA Untranched Publisher, determined by ICE Clear Credit to be
eligible and included in the List of Eligible CDX.NA Untranched Indexes.
List of Eligible CDX.NA Untranched Indexes
The list of Eligible CDX.NA Untranched Indexes, maintained, updated and
published by the Board or its designee on the ICE Clear Credit website,
specifying the following information with respect to each index:
(a)
the name and series, including any applicable sub-index designation;
(b)
the “Effective Date”;
(c)
one or more eligible “Scheduled Termination Dates” and the applicable
“Fixed Rate” for each such date;
(d)
the Relevant CDX.NA Untranched Terms Supplement;
(e)
the versions (and related annex dates) eligible for clearing (and, if
applicable for the relevant index, the Applicable Credit Derivatives
Definitions for each component); and
(f)
any inactive versions (and related annex dates), i.e., those that have been
determined to be fungible with later versions.
Relevant CDX.NA Untranched Terms Supplement
With respect to an Eligible CDX.NA Untranched Index, the CDX.NA Untranched
Terms Supplement specified for such Eligible CDX.NA Untranched Index in the
List of Eligible CDX.NA Untranched Indexes.
26A-309.
(a)
Acceptance of CDX.NA Untranched Contracts by ICE Clear Credit.
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a CDX.NA Untranched Contract, and any such Trade shall not be a
Conforming Trade, if the Novation Time would be:
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(i)
at a time when the Fallback Settlement Method is applicable to a Credit
Event with respect to such CDX.NA Untranched Contract; or
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for a Credit Event with respect to such
CDX.NA Untranched Contract;
(such time with respect to any CDX.NA Untranched Contract, the “Clearance
Cut-off Time”); provided that ICE Clear Credit may, by written notice to all CDS
Participants following consultation with the Risk Committee, designate a time
other than the time determined pursuant to clauses (i) or (ii) above as the
Clearance Cut-off Time with respect to any CDX.NA Untranched Contract. CDS
Participants may again submit Trades for clearance as such CDX.NA
Untranched Contract, and such Trades shall again be Conforming Trades,
following receipt of notice from ICE Clear Credit that a Fungibility Date (as
defined in Rule 26A-316) has occurred with respect to such CDX.NA Untranched
Contract.
(b)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
26A-315.
Terms of the Cleared CDX.NA Untranched Contract.
(a)
Any capitalized term used in this Subchapter 26A but not defined in these
CDX.NA Untranched Rules shall have the meaning provided in the Relevant
CDX.NA Untranched Terms Supplement.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each CDX.NA
Untranched Contract is the North American Region.
(c)
Each CDX.NA Untranched Contract will be governed by the Relevant CDX.NA
Untranched Terms Supplement, as modified by these CDX.NA Untranched
Rules. In the event of any inconsistency between the Relevant CDX.NA
Untranched Terms Supplement or the Confirmation (including in electronic form)
for a CDX.NA Untranched Contract and these CDX.NA Untranched Rules, these
CDX.NA Untranched Rules will govern.
26A-316.
(a)
Updating Index Version of Fungible Contracts After a Credit Event or
a Succession Event; Updating Relevant Untranched Standard Terms
Supplement.
Where the CDX.NA Untranched Publisher of an Eligible CDX.NA Untranched
Index publishes one or more subsequent versions or annexes of the relevant
series following a Credit Event or a Succession Event or circumstances giving
rise to a Successor and a Succession Date with respect to a Reference Entity
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included in such series, and the Board or its designee determines that CDX.NA
Untranched Contracts referencing the earlier version or annex of such series are
fungible with CDX.NA Untranched Contracts referencing a later version or annex
of such series that is an Eligible CDX.NA Untranched Index and so notifies CDS
Participants, CDX.NA Untranched Contracts referencing the earlier version or
annex of such series shall become CDX.NA Untranched Contracts referencing
such later version or annex of such series on the date determined by the Board
or its designee (the “Fungibility Date”). Any CDX.NA Untranched Contracts
referencing the earlier version or annex of such series submitted for clearing after
the related Fungibility Date shall, upon acceptance for clearing, become a
CDX.NA Untranched Contract referencing the latest version or annex of such
series that the Board or its designee has determined is fungible with such earlier
version or annex.
(b)
Where a new version of the CDX.NA Untranched Terms Supplement (a “New
Standard Terms”) is published as of a date that is subsequent to the date of the
version that is specified as the Relevant CDX.NA Untranched Terms Supplement
for any CDX.NA Untranched Contract(s) (the “Existing Standard Terms”), and
the Board or its designee determines that CDX.NA Untranched Contracts
referencing the Existing Standard Terms are fungible with CDX.NA Untranched
Contracts referencing the New Standard Terms, and so notifies CDS
Participants, CDX.NA Untranched Contracts referencing the Existing Standard
Terms shall become CDX.NA Untranched Contracts referencing the New
Standard Terms on the date determined by the Board or its designee (the
“Standard Terms Update Date” and each prior CDX.NA Untranched Terms
Supplement subject to such determination, a “Superseded Standard Terms”).
Any Trade referencing a Superseded Standard Terms submitted for clearing as a
CDX.NA Untranched Contract shall, upon acceptance for clearing, become a
CDX.NA Untranched Contract referencing the New Standard Terms.
(c)
The Board or its designee may determine a different Fungibility Date or Standard
Terms Update Date applicable to individual CDX.NA Untranched Contracts or
groups of CDX.NA Untranched Contracts or may determine a Fungibility Date or
Standard Terms Update Date applicable to all CDX.NA Untranched Contracts
referencing the earlier version or annex of a series described in clauses (a) or (b)
of this Rule, as it deems appropriate.
(d)
Notwithstanding anything to the contrary herein (including Rule 616(b)), with
respect to Open Positions in CDX.NA Untranched Contracts that are Converting
Contracts, effective as of the 2003/2014 Changeover Effective Date and without
need for further action or determination by the Board, the terms of each such
Contract shall be deemed amended such that it references the applicable 2014
Supplement as set forth in the List of Eligible CDX.NA Untranched Indexes in lieu
of the Relevant CDX.NA Untranched Terms Supplement in effect prior to such
date. The amendments made by this rule 26A-316(d) shall apply as of the
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2003/2014 Changeover Effective Date regardless of whether any relevant
transaction record in Deriv/SERV is updated to reflect such amendments
26A-317.
Terms of CDX.NA Untranched Contracts.
With respect to each CDX.NA Untranched Contract, the following terms will apply:
(a)
The following provisions will apply to each CDX.NA Untranched Contract or
component thereof to which the 2003 Definitions apply under the Relevant
CDX.NA Untranched Standard Terms Supplement. For purposes of this Chapter
26A only, references to the 2003 Definitions shall not include the 2005 Matrix
Supplement (except as otherwise specified in the Relevant CDX.NA Untranched
Standard Terms Supplement).
(i)
The terms of the CDX.NA Untranched Standard Terms Supplement are
hereby amended as follows:
(A)
in the case of the March 2008 Supplement, deleting the last
sentence of the definition of “Reference Entity” beginning “For the
avoidance of doubt”; and
(B)
in the case of the March 2008 Supplement, in the definition of
“Reference Obligation(s)”: deleting the “,” from the fourth line of the
first paragraph thereof and replacing it with “and”; deleting the
words “and the following paragraph:” from the end of the first
paragraph thereof and replacing them with a period; and deleting
the second paragraph thereof in its entirety.
(ii)
If a Convened DC (as defined in the DC Rules) resolves, pursuant to the
DC Rules, (i) a question of interpretation regarding the provisions of the
July 2009 Protocol (as defined in the DC Rules) or (ii) to make any
amendments to Schedule 1 of the July 2009 Protocol, in each case that
affect a CDX.NA Untranched Contract, ICE Clear Credit shall, as promptly
as practicable, make conforming changes to these Rules in order to
implement such resolutions. Notwithstanding anything to the contrary in
Rule 616, any change made to the Rules in accordance with this
paragraph (a)(ii) shall not constitute a Contract Modification.
(iii)
Section 3.2(c)(i) of the 2003 Definitions is hereby amended by replacing
the "or" at the end of subparagraph (B) thereof with an "and" and adding
the following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
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occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such CDX.NA
Untranched Contracts; or".
(iv)
If the March 2008 Supplement applies, any reference in a CDX.NA
Untranched Contract to the 2003 ISDA Credit Derivatives Definitions
(including any reference to the 2003 ISDA Credit Derivatives Definitions
as supplemented or otherwise modified, including by incorporation of any
additional provisions thereto (howsoever described) (the “Existing
Supplements”)) shall be deemed to be a reference to the 2003 ISDA
Credit Derivatives Definitions as so supplemented and as further
supplemented by the July 2009 Supplement. In the event of any
inconsistency between the terms of the July 2009 Supplement and the
terms of the 2003 ISDA Credit Derivatives Definitions (including any
Existing Supplements), the terms of the July 2009 Supplement shall
prevail for the purposes of such CDX.NA Untranched Contract.
(v)
For the purposes of any determination as to whether a Credit Event has
occurred in respect of a Reference Entity or an Obligation thereof:
(A)
at any time up to but excluding June 20, 2009; or
(B)
if (A) a Credit Event Resolution Request Date occurs or (B) a Credit
Event Notice and a Notice of Publicly Available Information are
deemed delivered pursuant to Rule 2101-02(f) by a Notifying Party,
in either case before June 20, 2009,
the Credit Event Backstop Date with respect to such determination shall
be deemed to be the Effective Date.
(vi)
If the March 2008 Supplement applies, for the purposes of any
determination as to whether a Succession Event has occurred in respect
of a Reference Entity:
(A)
at any time up to but excluding June 20, 2009; or
(B)
if (A) a Succession Event Resolution Request Date occurs or (B) a
Succession Event Notice is deemed delivered pursuant to Rule
2101-02(f), in either case before June 20, 2009,
the Succession Event Backstop Date with respect to such Reference
Entity shall be deemed to be the Effective Date.
If the January 2011 Supplement applies, Section 6.7 of the January 2011
Supplement is hereby modified by inserting “or a Succession Event Notice
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is deemed delivered pursuant to Rule 2101-02(f), in either case” before
the words “before June 20, 2009”.
(vii)
Except for purposes of Rule 26A-317(a)(v) and Section 1.23 of the 2003
Definitions, a Credit Event Notice and Notice of Publicly Available
Information with respect to a CDX.NA Untranched Contract will be
deemed to have been effectively delivered by the Notifying Party on the
relevant Event Determination Date determined under the CDS Committee
Rules only when the Resolution is effective, under the CDS Committee
Rules, that a Credit Event has occurred for which there is Publicly
Available Information, as described in CDS Committee Rule 210102(a)(iii), with respect to such CDX.NA Untranched Contract.
Notwithstanding anything to the contrary in the 2003 Definitions or the
Relevant CDX.NA Untranched Terms Supplement, any delivery of a Credit
Event Notice and/or Notice of Publicly Available Information by a CDS
Participant (other than the deemed delivery as provided in this Rule 26A317(g)) shall not be valid. For the avoidance of doubt, Section 6.8 of the
January 2011 Supplement and Section C.5 of the Legacy 2014
Supplement shall not apply.
(viii)
(A)
Section 1.8(a)(ii)(A)(I)(3)(y) of the 2003 Definitions is hereby
modified by replacing the term “Auction Final Price Determination
Date” with the phrase “date that is one Relevant City Business Day
prior to the Auction Settlement Date”.
(B)
Section 1.30 of the 2003 Definitions is hereby modified by replacing
the term “Auction Final Price Determination Date” in clause (ii) of
the last sentence thereof with the phrase “date that is one Relevant
City Business Day prior to the Auction Settlement Date”.
(ix)
With respect to CDX.NA Untranched Contracts for which it is Resolved by
the Regional CDS Committee (or applicable Dispute Resolver) or Credit
Derivatives Determinations Committee that a Credit Event has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may
not deliver a Notice of Physical Settlement until after it is determined that
the method of settlement for a particular Credit Event is the Fallback
Settlement Method due to the occurrence of one of the events in Section
12.1 of the 2003 Definitions and as further provided in the CDS Physical
Settlement Rules. For the avoidance of doubt, the effectiveness of any
Notice of Physical Settlement and obligations relating thereto are subject
to the suspension and finality provisions of Sections 6.5 and 9.1(c)(iii) of
the 2003 Definitions.
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(b)
The following provisions will apply to each CDX.NA Untranched Contract or
component thereof to which the 2014 Definitions apply under the Relevant
CDX.NA Untranched Standard Terms Supplement.
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such CDX.NA
Untranched Contracts.".
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a
CDX.NA Untranched Contract for a Credit Event other than M(M)R
Restructuring will be deemed to have been effectively delivered by the
Notifying Party on the relevant Event Determination Date determined
under the CDS Committee Rules only when the Resolution is effective,
under the CDS Committee Rules, that a Credit Event other than M(M)R
Restructuring has occurred for which there is Publicly Available
Information, as described in CDS Committee Rule 2101-02(a)(iii), with
respect to such CDX.NA Untranched Contract. Notwithstanding anything
to the contrary in the 2014 Definitions or the Relevant CDX.NA
Untranched Standard Terms Supplement, any delivery of a Credit Event
Notice and/or Notice of Publicly Available Information by a CDS
Participant (other than (i) the deemed delivery as provided in this Rule
26A-317(b)(ii) or (ii) notices with respect to a Relevant Restructuring
Credit Event as provided in the CDS Restructuring Rules) shall not be
valid. For the avoidance of doubt, Section C.5 of the Legacy 2014
Supplement and Section 5.8 of the New 2014 Supplement shall not apply.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to CDX.NA Untranched Contracts for which it is Resolved by
the Regional CDS Committee (or applicable Dispute Resolver) or Credit
Derivatives Determinations Committee that a Credit Event has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may
not deliver a Notice of Physical Settlement until after it is determined that
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the method of settlement for a particular Credit Event is the Fallback
Settlement Method due to the occurrence of one of the events in Section
6.1 of the 2014 Definitions, and as further provided in the CDS Physical
Settlement Rules. For the avoidance of doubt, the effectiveness of any
Notice of Physical Settlement and obligations relating thereto are subject
to the suspension and finality provisions of Sections 10.1 and 10.2 of the
2014 Definitions.
(c)
The Settlement Method for particular CDX.NA Untranched Contracts will be
Auction Settlement and the Fallback Settlement Method will be Physical
Settlement in accordance with the CDS Physical Settlement Rules.
(d)
ICE Clear Credit is deemed an Index Party for purposes of the CDX.NA
Untranched Standard Terms Supplement.
(e)
The following terms will apply to each CDX.NA Untranched Contract:
(f)
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Source of Relevant Annex” is “Publisher” (if applicable under the
Relevant CDX.NA Untranched Terms Supplement).
(iii)
The “Effective Date” is the date specified in the List of Eligible CDX.NA
Indexes for the relevant Index.
(iv)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(v)
There are no “Excluded Reference Entities” (in the case of a Relevant
CDX.NA Untranched Terms Supplement prior to the 2014 Supplements).
(vi)
“De Minimis Cash Settlement” is not applicable.
(vii)
The “Fixed Rate” is the rate specified in the List of Eligible CDX.NA
Indexes for the relevant Index and Scheduled Termination Date.
(viii)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
CDX.NA Untranched Contract that is accepted for clearing pursuant to
Rule 309 after the Trade Date thereof, the “Initial Payment Date” will be
the date that is the first Business Day following the date as of which such
CDX.NA Untranched Contract is accepted for clearing pursuant to Rule
309.
For each CDX.NA Untranched Contract, the following terms will be determined
according to the particular CDX.NA Untranched Contract submitted for clearing:
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(i)
Which of the Eligible CDX.NA Untranched Indexes is the “Index”.
(ii)
The “Annex Date”.
(iii)
The “Trade Date”.
(iv)
Which of the eligible Scheduled Termination Dates specified for the Index
in the List of Eligible CDX.NA Untranched Indexes is the “Scheduled
Termination Date”.
(v)
The “Original Notional Amount”.
(vi)
The “Floating Rate Payer”.
(vii)
The “Fixed Rate Payer”.
(viii)
The “Initial Payment Payer”.
(ix)
The “Initial Payment Amount”.
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26B. Standard North American Corporate (“SNAC”) Single Name.
The rules in this Subchapter 26B apply to the clearance of SNAC Contracts.
26B-102.
Definitions.
Eligible SNAC Reference Entities
Each particular Reference Entity included in the List of Eligible SNAC Reference
Entities as determined by ICE Clear Credit to be eligible. For the avoidance of
doubt, if there are multiple Reference Entity Database codes (as published by
Markit Group Limited or any successor thereto, such codes “RED Codes”) for a
particular Reference Entity listed in the List of Eligible SNAC Reference Entities,
each such RED Code shall be treated as a separate Eligible SNAC Reference
Entity.
Eligible SNAC Reference Obligations
With respect to any SNAC Contract Reference Obligation for any Eligible SNAC
Reference Entity, the Reference Obligations determined by ICE Clear Credit to
be eligible and listed under the heading “Eligible Reference Obligations” for such
SNAC Contract Reference Obligation and Eligible SNAC Reference Entity in the
List of Eligible SNAC Reference Entities. In the case of a 2014-Type CDS
Contract where “Standard Reference Obligation” is applicable to the SNAC
Reference Entity and the Standard Reference Obligation has been implemented
by ICE Clear Credit, the Standard Reference Obligation shall be an Eligible
SNAC Reference Obligation.
Eligible SNAC Sector
With respect to any SNAC Sector (as published by Markit Group Limited or any
successor thereto) for any Eligible SNAC Reference Entity, the Eligible SNAC
Sectors listed under the heading “Sector as reported in Rollout Schedule” for
such Eligible SNAC Reference Entities in the List of Eligible SNAC Reference
Entities shall be any of the following:
(a)
Basic Materials;
(b)
Consumer Goods;
(c)
Consumer Services;
(d)
Energy;
(e)
Financials;
(f)
Healthcare;
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(g)
Industrials;
(h)
Technology;
(i)
Telecommunications Services; and
(j)
Utilities.
List of Eligible SNAC Reference Entities
The list of Eligible SNAC Reference Entities, maintained, updated and published
by the Board or its designee on the ICE Clear Credit website, specifying the
following information (and the permissible combinations thereof, which may
distinguish, where applicable, between 2003-Type CDS Contracts and 2014Type CDS Contracts) with respect to each Eligible SNAC Reference Entity:
(a)
the name of such Eligible SNAC Reference Entity and the RED Code(s)
for such Eligible SNAC Reference Entity;
(b)
each Relevant Physical Settlement Matrix and Transaction Type for such
Eligible SNAC Reference Entity (which shall be Standard North American
Corporate);
(c)
each SNAC Contract Reference Obligation and each Eligible SNAC
Reference Obligation for each such SNAC Contract Reference Obligation;
(d)
each eligible “Scheduled Termination Date”;
(e)
whether “Restructuring” is an eligible “Credit Event”;
(f)
the eligible Applicable Credit Derivatives Definitions for such Contract;
(g)
in the case of a 2003-Type CDS Contract:
(i)
whether the 2005 Monoline Supplement is applicable;
(ii)
whether the Additional Provisions for a Secured Deliverable
Obligation Characteristic, as published by ISDA on June 16, 2006
(the
“Secured
Deliverable
Obligation
Characteristic
Supplement”) is applicable;
(iii)
whether the Additional Provisions for Reference Entities with
Delivery Restrictions, as published by ISDA on February 1, 2007
(the “Delivery Restrictions Supplement”) is applicable;
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(h)
in the case of a 2014-Type CDS Contract, whether any additional
supplement or additional provisions under the 2014 Definitions are
applicable;
(i)
the Eligible SNAC Sector;
(j)
in the case of a 2014-Type CDS Contract, whether the Financial
Reference Entity Terms are applicable;
(k)
in the case of a 2014-Type CDS Contract, the eligible Seniority Levels;
and
(l)
in the case of a 2014-Type CDS Contract, whether “Standard Reference
Obligation” is applicable.
Permitted SNAC Fixed Rates
The Fixed Rates permitted for a SNAC Contract, as determined from time to time
by the Board or its designee and notified to CDS Participants.
Relevant Physical Settlement Matrix
With respect to a SNAC Contract, the “Credit Derivatives Physical Settlement
Matrix” applicable to such SNAC Contract, as specified in the combination of
characteristics listed as eligible for the relevant Eligible SNAC Reference Entity
in, and permitted by, the List of Eligible SNAC Reference Entities.
SNAC Contract
A credit default swap in respect of any Eligible SNAC Reference Entity having a
combination of characteristics listed as eligible for such Eligible SNAC Reference
Entity in, and permitted by, the List of Eligible SNAC Reference Entities. A SNAC
Contract is a CDS Contract for purposes of Chapter 20.
SNAC Contract Reference Obligations
With respect to any Eligible SNAC Reference Entity, the Reference Obligation(s)
listed under the heading “SNAC Contract Reference Obligations” for such Eligible
SNAC Reference Entity in the List of Eligible SNAC Reference Entities (which,
for the avoidance of doubt, may indicate “No Reference Obligation”, indicating
that no obligation is specified as a Reference Obligation). In the case of a 2014Type CDS Contract where “Standard Reference Obligation” is applicable to the
SNAC Reference Entity and the Standard Reference Obligation has been
implemented by ICE Clear Credit, the SNAC Contract Reference Obligation shall
thereafter be such Standard Reference Obligation, subject to Section 2.9 of the
2014 Definitions.
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SNAC Rules
The rules set forth in Chapters 1 through 8, 20 through 22, inclusive, and the
CDS Restructuring Rules, as modified by the provisions of this Subchapter 26B.
26B-203.
Restriction on Activity.
(a)
In addition to the other rights granted to ICE Clear Credit in Rule 203, in the
event a CDS Participant (or a Non-Participant Party for whom such Participant is
acting) is subject to an event or agreement described in Rule 26B-206 or in the
event such CDS Participant submits a Trade of the type described in Rule 26B309(c) that is not a Conforming Trade and such Trade is cleared pursuant to
these Rules (in each case, an “SR CDS Participant”), ICE Clear Credit may
conduct an auction process to replace all of the SR CDS Participant’s Open CDS
Positions in the affected CDS Contracts (including, if applicable, those on behalf
of any such Non-Participant Party) (each auction in such process, an “SR
Auction”). ICE Clear Credit shall have the authority to determine the timing and
other particular characteristics of each SR Auction in consultation with the CDS
Default Committee and as provided in the ICE Clear Credit Procedures, including
determining the size of the bid/offer spread and/or of the CDS Contracts to be
auctioned, whether one or more SR Auctions are to be held and the timing and
structure of such auctions and whether CDS Participants other than the SR CDS
Participant will be required to submit actionable quotations in an SR Auction.
(b)
ICE Clear Credit shall enter into Trades in one or more CDS Contracts with the
CDS Participant(s) and in the amount determined pursuant to the SR Auction, at
which time the corresponding Open CDS Positions of the SR CDS Participant
shall be reduced or terminated, as applicable. The SR CDS Participant and the
other CDS Participants shall be obligated to submit to Deriv/SERV or another
service specified by ICE Clear Credit the terms of such reduction, termination or
Trade, as applicable. Amounts owed by the SR CDS Participant to (or receivable
by the SR CDS Participant from) ICE Clear Credit in connection with any such
reduction or termination shall be determined by ICE Clear Credit using the prices
determined pursuant to the SR Auctions. In addition, any Initial Payments,
Margin, or other payments or deliveries owed (including the dates of settlement
with respect thereto) relating to the Open CDS Positions increased, created,
reduced or terminated pursuant to this Rule 26B-203(b) shall be as determined
by ICE Clear Credit with reference to the SR Auction in accordance with the ICE
Clear Credit Procedures and, notwithstanding Rules 301 or 303, Initial Payments
may be owed in respect to CDS Contracts entered into by ICE Clear Credit
pursuant to an SR Auction.
26B-206.
Notices Required of Participants with Respect to SNAC Contracts.
In addition to the notice requirements contained in Rule 206, a CDS Participant shall
provide notice to ICE Clear Credit in the event that such CDS Participant (or a NonCopyright © 2009-2016. ICE Clear Credit LLC.
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Participant Party for whom such CDS Participant is acting) or an Eligible SNAC
Reference Entity consolidates or amalgamates with, or merges into, or transfers all or
substantially all of its assets to, the Eligible SNAC Reference Entity or such CDS
Participant (or Non-Participant Party for whom such CDS Participant is acting), as
applicable, or such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) and an Eligible SNAC Reference Entity are the same entity or are
or become Affiliates, or, subject to any restrictions on such disclosure imposed by law or
regulation, such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) is subject to an agreement pursuant to which any of the foregoing
is reasonably likely to occur.
26B-303.
SNAC Contract Adjustments.
In addition to the adjustments described in Rule 303, upon clearance of a Trade
otherwise equivalent to a SNAC Contract but that:
(a)
specifies an Eligible SNAC Reference Obligation as the “Reference Obligation”,
such Trade shall become an Open CDS Position in the SNAC Contract with the
SNAC Contract Reference Obligation specified for such Eligible SNAC
Reference Obligation in the List of Eligible SNAC Reference Entities;
(b)
an Event Determination Date has occurred with respect to a Restructuring, such
Trade shall become an Open CDS Position in the SNAC Contract for which no
such Event Determination Date has occurred; and/or
(c)
specifies a Transaction Type other than Standard North American Corporate,
such Trade shall become an Open CDS Position in the SNAC Contract otherwise
equivalent to such Trade but specifying Standard North American Corporate as
the Transaction Type.
26B-309.
Acceptance of SNAC Contracts by ICE Clear Credit.
(a)
In addition to the acceptance process described in Rule 309, ICE Clear Credit’s
notice to the relevant CDS Participants that it has accepted a Trade submitted for
clearance shall include any adjustment that will be made by ICE Clear Credit
pursuant to Rule 26B-303. Such CDS Participants’ resubmission of the terms of
such Trade, as provided in Rule 309, shall include the adjustments described by
ICE Clear Credit in such notice.
(b)
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a SNAC Contract, and any such Trade shall not be a Conforming
Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to such
SNAC Contract;
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(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for such SNAC Contract; or
(iii)
on or after the calendar day following the day on which the Final List (as
defined in the DC Rules) is published for a Restructuring CDS Contract
and at or before the close of business on the calendar day following the
CDS Regional Business Day following the latest possible Exercise Cut-off
Date for the related Relevant Restructuring Credit Event under such
Restructuring CDS Contract;
(such time with respect to any SNAC Contract, the “Clearance Cut-off Time”);
provided that ICE Clear Credit may, by written notice to all CDS Participants
following consultation with the Risk Committee, designate a time other than the
time determined pursuant to clauses (i) through (iii) above as the Clearance Cutoff Time with respect to any SNAC Contract.
(c)
A CDS Participant may not submit a Trade for clearance as a SNAC Contract,
and any such Trade shall not be a Conforming Trade, if the time of submission of
the Trade or the Novation Time would be at a time when the CDS Participant (or
any Non-Participant Party for whom such Participant is acting) is, or is an Affiliate
of, the Eligible SNAC Reference Entity for such SNAC Contract or is subject to
an agreement under which it is reasonably likely that the CDS Participant (or any
such Non-Participant Party) will become, or will become an Affiliate of, the
Eligible SNAC Reference Entity for such SNAC Contract.
(d)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
(e)
If ICE Clear Credit determines that any Trade submitted for clearance would
have been subject to a Succession Event (in the case of a 2003-Type CDS
Contract) or circumstances giving rise to a Successor and a Succession Date (in
the case of a 2014-Type CDS Contract) but will no longer be subject to such
Succession Event or such circumstances, as the case may be, upon clearance
because of the Trade Date that would be specified with respect to the related
Open CDS Position, ICE Clear Credit shall take such action as it deems
necessary to ensure that such Succession Event is given effect or such
circumstances are given effect, as the case may be, with respect to such Trade,
including, without limitation, declining to accept such Trade for clearance or
specifying an alternate Trade Date for purposes of Section 2.1 of the Applicable
Credit Derivatives Definitions with respect to the relevant portion of the related
Open CDS Position.
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26B-315.
Terms of the Cleared SNAC Contract.
(a)
Any capitalized term used in this Subchapter 26B but not defined in these SNAC
Rules shall have the meaning provided in the Credit Derivatives Definitions.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each SNAC
Contract is the North American Region.
(c)
The definitions and provisions contained in the Applicable Credit Derivatives
Definitions (for the purposes of the SNAC Rules only, the “Credit Derivatives
Definitions”) are incorporated into the SNAC Rules. In the event of any
inconsistency between the Credit Derivatives Definitions or the Confirmation
(including in electronic form) for a SNAC Contract and these SNAC Rules, these
SNAC Rules will govern.
(d)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2003 Definitions:
(i)
If a Convened DC (as defined in the DC Rules) resolves, pursuant to the
DC Rules, (i) a question of interpretation regarding the provisions of the
July 2009 Protocol (as defined in the DC Rules) or (ii) to make any
amendments to Schedule 1 of the July 2009 Protocol, in each case that
affect a SNAC Contract, ICE Clear Credit shall, as promptly as
practicable, make conforming changes to these Rules in order to
implement such resolutions. Notwithstanding anything to the contrary in
Rule 616, any change made to the Rules in accordance with this
paragraph (d) shall not constitute a Contract Modification.
(ii)
Section 3.2(c)(i) of the Credit Derivatives Definitions is hereby amended
by replacing the “or” at the end of subparagraph (B) thereof with an “and”
and adding the following as a new subparagraph (C):
“(C)
(iii)
the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to
Resolve (i.e., determined without regard to any Effectiveness
Convention or any time of effectiveness specified in a Presented
Position) that a Credit Event has occurred for which there is
Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii), with respect to such SNAC Contracts; or”.
Except for purposes of Section 1.23 of the Credit Derivatives Definitions, a
Credit Event Notice and Notice of Publicly Available Information with
respect to a SNAC Contract will be deemed to have been effectively
delivered by the Notifying Party for a Credit Event other than Restructuring
on the relevant Event Determination Date determined under the CDS
Committee Rules only when the Resolution is effective, under the CDS
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Committee Rules, that a Credit Event other than Restructuring has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SNAC Contract.
Notwithstanding anything to the contrary in the Credit Derivatives
Definitions, any delivery of a Credit Event Notice and/or Notice of Publicly
Available Information by a CDS Participant (other than (i) the deemed
delivery as provided in this Rule 26B-315(f) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
(iv)
(A)
(B)
Section 1.8(a)(ii)(A)(I)(3)(y) of the Credit Derivatives Definitions is
hereby modified by replacing the term “Auction Final Price
Determination Date” with the phrase “date that is one Relevant City
Business Day prior to the Auction Settlement Date”.
Section 1.30 of the Credit Derivatives Definitions is hereby modified
by replacing the term “Auction Final Price Determination Date” in
clause (ii) of the last sentence thereof with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement
Date”.
(v)
With respect to SNAC Contracts for which it is Resolved by the North
American Regional CDS Committee (or applicable Dispute Resolver) or
Credit Derivatives Determinations Committee that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable,
Buyer may not deliver a Notice of Physical Settlement until after it is
determined that the method of settlement for a particular Credit Event is
the Fallback Settlement Method due to the occurrence of one of the
events in Section 12.1 of the Credit Derivatives Definitions and as further
provided in the CDS Physical Settlement Rules. For the avoidance of
doubt, the effectiveness of any Notice of Physical Settlement and
obligations relating thereto are subject to the suspension and finality
provisions of Sections 6.5 and 9.1(c)(iii) of the Credit Derivatives
Definitions.
(vi)
Notwithstanding Section 2.9 of the Credit Derivatives Definitions, the initial
Fixed Rate Payer Calculation Period shall commence on, and include, the
Fixed Rate Payer Payment Date falling on or immediately prior to the
calendar day immediately following the Trade Date.
For purposes of this provision, Section 2.10 of the Credit Derivatives
Definitions shall be deemed amended by deleting the words “during the
term of the transaction”.
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(e)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2014 Definitions:
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
“(C)
the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to
Resolve (i.e., determined without regard to any Effectiveness
Convention or any time of effectiveness specified in a Presented
Position) that a Credit Event has occurred for which there is
Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii), with respect to such SNAC Contracts.”.
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a SNAC
Contract for a Credit Event other than M(M)R Restructuring will be
deemed to have been effectively delivered by the Notifying Party on the
relevant Event Determination Date determined under the CDS Committee
Rules only when the Resolution is effective, under the CDS Committee
Rules, that a Credit Event other than M(M)R Restructuring has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii), with respect to such SNAC Contract.
Notwithstanding anything to the contrary in the 2014 Definitions, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26B-315(e)(ii) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to SNAC Contracts for which it is Resolved by the Regional
CDS Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which
there is Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver
a Notice of Physical Settlement until after it is determined that the method
of settlement for a particular Credit Event is the Fallback Settlement
Method due to the occurrence of one of the events in Section 6.1 of the
2014 Definitions, and as further provided in the CDS Physical Settlement
Rules. For the avoidance of doubt, the effectiveness of any Notice of
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Physical Settlement and obligations relating thereto are subject to the
suspension and finality provisions of Sections 10.1 and 10.2 of the 2014
Definitions.
(v)
Section 11.4 of the Credit Derivatives Definitions shall not apply.
(f)
The Settlement Method for particular SNAC Contracts will be Auction Settlement
and the Fallback Settlement Method will be Physical Settlement in accordance
with the CDS Physical Settlement Rules.
(g)
The following terms will apply to each SNAC Contract:
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iii)
The “Transaction Type” is Standard North American Corporate.
(iv)
The “Fixed Rate Payer Payment Dates” will be March 20, June 20,
September 20 and December 20.
(v)
In the case of a 2003-Type CDS Contract:
(A)
The 2005 Monoline Supplement will apply if specified as applicable in
the List of Eligible SNAC Reference Entities for the relevant SNAC
Contract.
(B)
The Secured Deliverable Obligation Characteristic Supplement will
apply if specified as applicable in the List of Eligible SNAC Reference
Entities for the relevant SNAC Contract.
(C)
The Delivery Restrictions Supplement will apply if specified as
applicable in the List of Eligible SNAC Reference Entities for the
relevant SNAC Contract.
(vi)
In the case of a 2014-Type CDS Contract, any supplement or additional
provisions specified as applicable in the List of Eligible SNAC Reference
Entities for the relevant SNAC Contract will apply.
(vii)
In the case of a 2014-Type CDS Contract, the Financial Reference Entity
Terms will apply if specified as applicable in the List of Eligible SNAC
Reference Entities.
(viii)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
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SNAC Contract that is accepted for clearing pursuant to Rule 309 after the
Trade Date thereof, the “Initial Payment Date” will be the date that is the
first Business Day following the date as of which such SNAC Contract is
accepted for clearing pursuant to Rule 309.
(h)
For each SNAC Contract, the following terms will be determined according to the
particular SNAC Contract submitted for clearing, subject to Rule 26B-303:
(i)
Which of the Eligible SNAC Reference Entities is the “Reference Entity”.
(ii)
Which of the SNAC Contract Reference Obligations specified for the
Reference Entity in the List of Eligible SNAC Reference Entities is the
“Reference Obligation”.
(iii)
The “Trade Date”.
(iv)
The “Effective Date”.
(v)
Which of the eligible Scheduled Termination Dates specified for the
“Reference Entity” in the List of Eligible SNAC Reference Entities is the
“Scheduled Termination Date”.
(vi)
The “Floating Rate Payer Calculation Amount”.
(vii)
The “Floating Rate Payer”.
(viii)
The “Fixed Rate Payer”.
(ix)
The “Fixed Rate”.
(x)
Whether “Restructuring” is an applicable “Credit Event”.
(xi)
If applicable, the Matrix Publication Date for the Relevant Physical
Settlement Matrix.
(xii)
The “Initial Payment Payer”.
(xiii)
The “Initial Payment Amount”.
(xiv)
Which of the eligible Applicable Credit Derivatives Definitions applies.
(xv)
In the case of a 2014-Type CDS Contract, which of the eligible Seniority
Levels applies.
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26B-316.
Relevant Physical Settlement Matrix Updates.
(a)
Where ISDA publishes a version of the Credit Derivatives Physical Settlement
Matrix (a “New Matrix”) that is subsequent to the version that is specified as the
Relevant Physical Settlement Matrix for any SNAC Contract(s) (the “Existing
Matrix”), and the Board or its designee determines that updating such SNAC
Contract(s) to reference the New Matrix would not constitute a Contract
Modification as provided in Rule 616 (the date of such determination, the “Matrix
Update Date” and each prior Credit Derivatives Physical Settlement Matrix
subject to such determination, a “Superseded Matrix”) and so notifies CDS
Participants, such SNAC Contracts shall, as of the close of business on the
Matrix Update Date, become SNAC Contracts referencing the New Matrix as the
Relevant Physical Settlement Matrix and the List of Eligible SNAC Reference
Entities shall be updated accordingly. Any Trade referencing a Superseded
Matrix submitted for clearing as a SNAC Contract shall, upon acceptance for
clearing, become a SNAC Contract referencing the New Matrix.
(b)
The Board or its designee may determine a different Matrix Update Date
applicable to individual SNAC Contracts or groups of SNAC Contracts or may
determine a Matrix Update Date applicable to all SNAC Contracts referencing a
Superseded Matrix, as it deems appropriate.
26B-502.
Specified Actions.
Notwithstanding anything to the contrary in Rule 502(a) but without limiting the
application of Rule 616 to any Modification (including the requirement of consultation
with the Risk Committee, as provided in Rule 502(a), prior to determining that a
Modification is not a Contract Modification), none of the following shall constitute a
Specified Action: (a) adding and/or Modifying Permitted SNAC Fixed Rates, (b) adding
new Eligible SNAC Reference Entities, and adding and/or Modifying any other entries in
any of the fields in the List of Eligible SNAC Reference Entities or (c) an update to the
List of Eligible SNAC Reference Entities, as described in Rules 26B-316 and 26B-616.
26B-616.
Contract Modification.
(a) It shall not constitute a Contract Modification if the Board or its designee updates
the List of Eligible SNAC Reference Entities (and modifies the terms and
conditions of related SNAC Contracts) to give effect to determinations by the
North American Regional CDS Committee (or applicable Dispute Resolver) or a
Credit Derivatives Determinations Committee, including, without limitation,
determinations of Succession Events or circumstances that result in Successors
and Succession Dates or Substitute Reference Obligations or implementation of
Standard Reference Obligations (or changes thereto). In addition, the
determination that “Standard Reference Obligation” will be applicable to an
Eligible SNAC Reference Entity shall not constitute a Contract Modification.
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(b) Notwithstanding anything to the contrary herein (including Rule 616(b)), with
respect to Open Positions in SNAC Contracts that are Converting Contracts,
effective as of the 2003/2014 Changeover Effective Date and without need for
further action or determination by the Board, the terms of each such Contract will
be deemed amended such that it is a 2014-Type CDS Contract under these
Rules, the Applicable Credit Derivatives Definitions are the 2014 Definitions and
it references the New Matrix with a Matrix Update Date of the 2003/2014
Changeover Effective Date. The amendments made by this rule 26B-616 shall
apply as of the 2003/2014 Changeover Effective Date regardless of whether any
relevant transaction record in Deriv/SERV is updated to reflect such
amendments.
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26C. CDX Untranched Emerging Markets.
The rules in this Subchapter 26C apply to the clearance of CDX.EM Untranched
Contracts.
26C-102.
Definitions.
CDX.EM Untranched Contract
A credit default swap in respect of any Eligible CDX.EM Untranched Index and
governed by any CDX.EM Untranched Terms Supplement. A CDX.EM
Untranched Contract is a CDS Contract for purposes of Chapter 20.
CDX.EM Untranched Publisher
Markit North America, Inc., or any successor sponsor of the Eligible CDX.EM
Untranched Indexes it publishes.
CDX.EM Untranched Rules
The rules set forth in Chapters 1 through 8 and 20 through 22, inclusive, as
modified by the provisions of this Subchapter 26C.
CDX.EM Untranched Terms Supplement
Each of the following:
(a)
The “CDX Emerging Markets Untranched Transactions Standard Terms
Supplement”, as published by Markit North America, Inc. on January 31,
2011 (the “2011 Supplement”).
(b)
The “CDX Emerging Markets Legacy Untranched Transactions Standard
Terms Supplement”, as published on or about September 20, 2014 (the
“Legacy 2014 Supplement”).
(c)
The “CDX Emerging Markets Untranched Transactions Standard Terms
Supplement”, as published on or about September 20, 2014 (the “New
2014 Supplement”, and together with the Legacy 2014 Supplement, the
“2014 Supplements”).
(d)
Such other supplement as may be specified in relation to any Eligible
CDX.EM Untranched Index by ICE Clear Credit, including any successor
to any of the documents listed in subparagraphs (a), (b) or (c) of this
definition.
Eligible CDX.EM Untranched Index
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Each particular series and version of a CDX.EM index or sub-index, as published
by the CDX.EM Untranched Publisher, determined by ICE Clear Credit to be
eligible and included in the List of Eligible CDX.EM Untranched Indexes.
List of Eligible CDX.EM Untranched Indexes
The list of Eligible CDX.EM Untranched Indexes, maintained, updated and
published by the Board or its designee on the ICE Clear Credit website,
specifying the following information with respect to each index:
(a)
the name and series, including any applicable sub-index designation;
(b)
the “Effective Date”;
(c)
one or more eligible “Scheduled Termination Dates” and the applicable
“Fixed Rate” for each such date;
(d)
the Relevant CDX.EM Untranched Terms Supplement;
(e)
the versions (and related annex dates) eligible for clearing (and, if
applicable for the relevant index, the Applicable Credit Derivatives
Definitions for each component); and
(f)
any inactive versions (and related annex dates), i.e., those that have been
determined to be fungible with later versions.
Relevant CDX.EM Untranched Terms Supplement
With respect to an Eligible CDX.EM Untranched Index, the CDX.EM Untranched
Terms Supplement specified for such Eligible CDX.EM Untranched Index in the
List of Eligible CDX.EM Untranched Indexes.
26C-309.
(a)
Acceptance of CDX.EM Untranched Contracts by ICE Clear Credit.
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a CDX.EM Untranched Contract, and any such Trade shall not be a
Conforming Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to a Credit
Event with respect to such CDX.EM Untranched Contract; or
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for a Credit Event with respect to such
CDX.EM Untranched Contract;
(such time with respect to any CDX.EM Untranched Contract, the “Clearance
Cut-off Time”); provided that ICE Clear Credit may, by written notice to all CDS
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Participants following consultation with the Risk Committee, designate a time
other than the time determined pursuant to clauses (i) or (ii) above as the
Clearance Cut-off Time with respect to any CDX.EM Untranched Contract. CDS
Participants may again submit Trades for clearance as such CDX.EM
Untranched Contract, and such Trades shall again be Conforming Trades,
following receipt of notice from ICE Clear Credit that a Fungibility Date (as
defined in Rule 26C-316) has occurred with respect to such CDX.EM Untranched
Contract.
(b)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
26C-315.
Terms of the Cleared CDX.EM Untranched Contract.
(a)
Any capitalized term used in this Subchapter 26C but not defined in these
CDX.EM Untranched Rules shall have the meaning provided in the Relevant
CDX.EM Untranched Terms Supplement.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each CDX.EM
Untranched Contract is the North American Region for Latin American Reference
Entities, the European Region for European Reference Entities and the Asian
Region for Asian Reference Entities (or for an issue not specific to a particular
Reference Entity, the North American Region).
(c)
Each CDX.EM Untranched Contract will be governed by the Relevant CDX.EM
Untranched Terms Supplement, as modified by these CDX.EM Untranched
Rules. In the event of any inconsistency between the Relevant CDX.EM
Untranched Terms Supplement or the Confirmation (including in electronic form)
for a CDX.EM Untranched Contract and these CDX.EM Untranched Rules, these
CDX.EM Untranched Rules will govern.
26C-316.
(a)
Updating Index Version of Fungible Contracts After a Credit Event or
a Succession Event; Updating Relevant Untranched Standard Terms
Supplement.
Where the CDX.EM Untranched Publisher of an Eligible CDX.EM Untranched
Index publishes one or more subsequent versions or annexes of the relevant
series following a Credit Event or a Succession Event or circumstances giving
rise to a Successor and a Succession Date with respect to a Reference Entity
included in such series, and the Board or its designee determines that CDX.EM
Untranched Contracts referencing the earlier version or annex of such series are
fungible with CDX.EM Untranched Contracts referencing a later version or annex
of such series that is an Eligible CDX.EM Untranched Index and so notifies CDS
Participants, CDX.EM Untranched Contracts referencing the earlier version or
annex of such series shall become CDX.EM Untranched Contracts referencing
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such later version or annex of such series on the date determined by the Board
or its designee (the “CDX.EM Fungibility Date”). Any CDX.EM Untranched
Contracts referencing the earlier version or annex of such series submitted for
clearing after the related CDX.EM Fungibility Date shall, upon acceptance for
clearing, become a CDX.EM Untranched Contract referencing the latest version
or annex of such series that the Board or its designee has determined is fungible
with such earlier version or annex.
(b)
Where a new version of the CDX.EM Untranched Terms Supplement (a “New
CDX.EM Standard Terms”) is published as of a date that is subsequent to the
date of the version that is specified as the Relevant CDX.EM Untranched Terms
Supplement for any CDX.EM Untranched Contract(s) (the “Existing CDX.EM
Standard Terms”), and the Board or its designee determines that CDX.EM
Untranched Contracts referencing the Existing CDX.EM Standard Terms are
fungible with CDX.EM Untranched Contracts referencing the New CDX.EM
Standard Terms, and so notifies CDS Participants, CDX.EM Untranched
Contracts referencing the Existing CDX.EM Standard Terms shall become
CDX.EM Untranched Contracts referencing the New CDX.EM Standard Terms
on the date determined by the Board or its designee (the “CDX.EM Standard
Terms Update Date” and each prior CDX.EM Untranched Terms Supplement
subject to such determination, a “Superseded CDX.EM Standard Terms”). Any
Trade referencing a Superseded CDX.EM Standard Terms submitted for clearing
as a CDX.EM Untranched Contract shall, upon acceptance for clearing, become
a CDX.EM Untranched Contract referencing the New CDX.EM Standard Terms.
(c)
The Board or its designee may determine a different Fungibility Date or CDX.EM
Standard Terms Update Date applicable to individual CDX.EM Untranched
Contracts or groups of CDX.EM Untranched Contracts or may determine a
Fungibility Date or CDX.EM Standard Terms Update Date applicable to all
CDX.EM Untranched Contracts referencing the earlier version or annex of a
series or standard terms described in clauses (a) or (b) of this Rule, as it deems
appropriate.
(d)
Notwithstanding anything to the contrary herein (including Rule 616(b)), with
respect to Open Positions in CDX.EM Untranched Contracts that are Converting
Contracts, effective as of the 2003/2014 Changeover Effective Date and without
need for further action or determination by the Board, the terms of each such
Contract shall be deemed amended such that it references the applicable 2014
Supplement as set forth in the List of Eligible CDX.EM Untranched Indexes in
lieu of the Relevant CDX.EM Untranched Terms Supplement in effect prior to
such date. The amendments made by this Rule 26C-316(d) shall apply as of the
2003/2014 Changeover Effective Date regardless of whether any relevant
transaction record in Deriv/SERV is updated to reflect such amendments.
26C-317.
Terms of CDX.EM Untranched Contracts.
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With respect to each CDX.EM Untranched Contract, the following terms will apply:
(a)
The following provisions will apply to each CDX.EM Untranched Contract or
component thereof to which the 2003 Definitions apply under the Relevant
CDX.EM Untranched Terms Supplement. For purposes of this Chapter 26C only,
references to the 2003 Definitions shall not include the 2005 Matrix Supplement.
(i)
Section 3.2(c)(i) of the Credit Derivatives Definitions is hereby amended
by replacing the "or" at the end of subparagraph (B) thereof with an "and"
and adding the following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such CDX.EM
Untranched Contracts; or".
(ii)
Intentionally omitted.
(iii)
For the purposes of any determination as to whether a Credit Event has
occurred in respect of a Reference Entity or an Obligation thereof:
(A)
at any time up to but excluding June 20, 2009; or
(B)
if (A) a Credit Event Resolution Request Date occurs or (B) a Credit
Event Notice and a Notice of Publicly Available Information are
deemed delivered pursuant to Rule 2101-02(f) by a Notifying Party,
in either case before June 20, 2009,
the Credit Event Backstop Date with respect to such determination shall
be deemed to be the Effective Date.
(iv)
Section 6.8 of the CDX.EM Untranched Terms Supplement is hereby
modified by inserting “or a Succession Event Notice is deemed delivered
pursuant to Rule 2101-02(f), in either case” before the words “before June
20, 2009”.
(v)
Except for purposes of Rule 26C-317(a)(iii) and Section 1.23 of the Credit
Derivatives Definitions, a Credit Event Notice and Notice of Publicly
Available Information with respect to a CDX.EM Untranched Contract for a
Credit Event other than Restructuring will be deemed to have been
effectively delivered by the Notifying Party on the relevant Event
Determination Date determined under the CDS Committee Rules only
when the Resolution is effective, under the CDS Committee Rules, that a
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Credit Event other than Restructuring has occurred for which there is
Publicly Available Information, as described in CDS Committee Rule
2101-02(a)(iii), with respect to such CDX.EM Untranched Contract.
Notwithstanding anything to the contrary in the Credit Derivatives
Definitions or the Relevant CDX.EM Untranched Terms Supplement, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26C-317(e) or (ii) notices with respect to a Relevant
Restructuring Credit Event as provided in the CDS Restructuring Rules)
shall not be valid. For the avoidance of doubt, Section 6.9 of the CDX.EM
Untranched Terms Supplement shall not apply.
(vi)
(vii)
(b)
(A)
Section 1.8(a)(ii)(A)(I)(3)(y) of the Credit Derivatives Definitions is
hereby modified by replacing the term “Auction Final Price
Determination Date” with the phrase “date that is one Relevant City
Business Day prior to the Auction Settlement Date”.
(B)
Section 1.30 of the Credit Derivatives Definitions is hereby modified
by replacing the term “Auction Final Price Determination Date” in
clause (ii) of the last sentence thereof with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement
Date”.
With respect to CDX.EM Untranched Contracts for which it is Resolved by
the applicable Regional CDS Committee (or applicable Dispute Resolver)
or Credit Derivatives Determinations Committee that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable,
Buyer may not deliver a Notice of Physical Settlement until after it is
determined that the method of settlement for a particular Credit Event is
the Fallback Settlement Method due to the occurrence of one of the
events in Section 12.1 of the Credit Derivatives Definitions and as further
provided in the CDS Physical Settlement Rules. For the avoidance of
doubt, the effectiveness of any Notice of Physical Settlement and
obligations relating thereto are subject to the suspension and finality
provisions of Sections 6.5 and 9.1(c)(iii) of the Credit Derivatives
Definitions.
The following provisions will apply to each CDX.EM Untranched Contract or
component thereof to which the 2014 Definitions apply under the Relevant
CDX.EM Untranched Terms Supplement:
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
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"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such CDX.NA
Untranched Contracts.”.
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a
CDX.EM Untranched Contract for a Credit Event other than M(M)R
Restructuring will be deemed to have been effectively delivered by the
Notifying Party on the relevant Event Determination Date determined
under the CDS Committee Rules only when the Resolution is effective,
under the CDS Committee Rules, that a Credit Event other than M(M)R
Restructuring has occurred for which there is Publicly Available
Information, as described in CDS Committee Rule 2101-02(a)(iii), with
respect to such CDX.EM Untranched Contract. Notwithstanding anything
to the contrary in the 2014 Definitions or the Relevant CDX.EM
Untranched Terms Supplement, any delivery of a Credit Event Notice
and/or Notice of Publicly Available Information by a CDS Participant (other
than (i) the deemed delivery as provided in this Rule 26C-317(b)(ii) or (ii)
notices with respect to a Relevant Restructuring Credit Event as provided
in the CDS Restructuring Rules) shall not be valid. For the avoidance of
doubt, Section 5.9 of the Legacy 2014 Supplement and Section 5.8 of the
New 2014 Supplement shall not apply.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to CDX.EM Untranched Contracts for which it is Resolved by
the Regional CDS Committee (or applicable Dispute Resolver) or Credit
Derivatives Determinations Committee that a Credit Event has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may
not deliver a Notice of Physical Settlement until after it is determined that
the method of settlement for a particular Credit Event is the Fallback
Settlement Method due to the occurrence of one of the events in Section
6.1 of the 2014 Definitions, and as further provided in the CDS Physical
Settlement Rules. For the avoidance of doubt, the effectiveness of any
Notice of Physical Settlement and obligations relating thereto are subject
to the suspension and finality provisions of Sections 10.1 and 10.2 of the
2014 Definitions.
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(c)
The Settlement Method for particular CDX.EM Untranched Contracts will be
Auction Settlement and the Fallback Settlement Method will be Physical
Settlement in accordance with the CDS Physical Settlement Rules.
(d)
ICE Clear Credit is deemed an Index Party for purposes of the CDX.EM
Untranched Terms Supplement.
(e)
Notwithstanding anything to the contrary in the Relevant CDX.EM Untranched
Terms Supplement, the Reference Obligation for purposes of a New Trade (as
defined therein) will be the Reference Obligation for the Restructured Entity in
question as specified by ICE Clear Credit following consultation with the CDS
Risk Committee (which for the avoidance of doubt may be determined by
reference to any Standard Reference Obligation).
(f)
The following terms will apply to each CDX.EM Untranched Contract:
(g)
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Source of Relevant Annex” is “Publisher” (if applicable under the
Relevant CDX.EM Untranched Terms Supplement).
(iii)
The “Effective Date” is the date specified in the List of Eligible CDX.EM
Indexes for the relevant Index.
(iv)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(v)
There are no “Excluded Reference Entities” (in the case of a Relevant
CDX.EM Untranched Terms Supplement prior to the 2014 Supplements).
(vi)
“De Minimis Cash Settlement” is not applicable.
(vii)
The “Fixed Rate” is the rate specified in the List of Eligible CDX.EM
Indexes for the relevant Index and Scheduled Termination Date.
(viii)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
CDX.EM Untranched Contract that is accepted for clearing pursuant to
Rule 309 after the Trade Date thereof, the “Initial Payment Date” will be
the date that is the first Business Day following the date as of which such
CDX.EM Untranched Contract is accepted for clearing pursuant to Rule
309.
For each CDX.EM Untranched Contract, the following terms will be determined
according to the particular CDX.EM Untranched Contract submitted for clearing:
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(i)
Which of the Eligible CDX.EM Untranched Indexes is the “Index”.
(ii)
The “Annex Date”.
(iii)
The “Trade Date”.
(iv)
Which of the eligible Scheduled Termination Dates specified for the Index
in the List of Eligible CDX.EM Untranched Indexes is the “Scheduled
Termination Date”.
(v)
The “Original Notional Amount”.
(vi)
The “Floating Rate Payer”.
(vii)
The “Fixed Rate Payer”.
(viii)
The “Initial Payment Payer”.
(ix)
The “Initial Payment Amount”.
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26D. Standard Emerging Market Sovereign (“SES”) Single Name.
The rules in this Subchapter 26D apply to the clearance of SES Contracts.
26D-102.
Definitions.
Eligible SES Reference Entities
Each particular Reference Entity included in the List of Eligible SES Reference
Entities as determined by ICE Clear Credit to be eligible (specifically, the
Federative Republic of Brazil, the United Mexican States, the Bolivarian Republic
of Venezuela, the Argentine Republic, the Republic of Turkey, the Russian
Federation, Hungary, the Republic of South Africa, the Republic of Chile, the
Republic of Peru, the Republic of Colombia, and the Republic of Poland). For the
avoidance of doubt, if there are multiple Reference Entity Database codes (as
published by Markit Group Limited or any successor thereto, such codes “RED
Codes”) for a particular Reference Entity listed in the List of Eligible SES
Reference Entities, each such RED Code shall be treated as a separate Eligible
SES Reference Entity.
Eligible SES Reference Obligations
With respect to any SES Contract Reference Obligation for any Eligible SES
Reference Entity, the Reference Obligations determined by ICE Clear Credit to
be eligible and listed under the heading “Eligible Reference Obligations” for such
SES Contract Reference Obligation and Eligible SES Reference Entity in the List
of Eligible SES Reference Entities. In the case of a 2014-Type CDS Contract
where “Standard Reference Obligation” is applicable to the SES Reference Entity
and ICE Clear Credit has implemented the Standard Reference Obligation, the
Standard Reference Obligation shall be an Eligible SES Reference Obligation.
List of Eligible SES Reference Entities
The list of Eligible SES Reference Entities, maintained, updated and published
by the Board or its designee on the ICE Clear Credit website, specifying the
following information (and the permissible combinations thereof, which may
distinguish, where applicable, between 2003-Type CDS Contracts and 2014Type CDS Contracts) with respect to each Eligible SES Reference Entity:
(a)
the name of such Eligible SES Reference Entity and the RED Code(s) for
such Eligible SES Reference Entity;
(b)
each Relevant Physical Settlement Matrix and relevant Transaction Type;
(c)
each SES Contract Reference Obligation and each Eligible SES
Reference Obligation for each such SES Contract Reference Obligation;
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(d)
each eligible “Scheduled Termination Date”; and
(e)
the Sector “Government” (as published by Markit Group Limited or any
successor thereto).
(f)
the eligible Applicable Credit Derivatives Definitions for such Contract.
(g)
in the case of a 2014-Type CDS Contract, the eligible Seniority Levels.
(h)
in the case of a 2014-Type CDS Contract, whether “Standard Reference
Obligation” is applicable.
Permitted SES Fixed Rates
The Fixed Rates permitted for a SES Contract, as determined from time to time
by the Board or its designee and notified to CDS Participants.
Relevant Physical Settlement Matrix
With respect to a SES Contract, the “Credit Derivatives Physical Settlement
Matrix” applicable to such SES Contract, as specified in the combination of
characteristics listed as eligible for the relevant Eligible SES Reference Entity in,
and permitted by, the List of Eligible SES Reference Entities.
SES Contract
A credit default swap in respect of any Eligible SES Reference Entity having a
combination of characteristics listed as eligible for such Eligible SES Reference
Entity in, and permitted by, the List of Eligible SES Reference Entities. A SES
Contract is a CDS Contract for purposes of Chapter 20.
SES Contract Reference Obligations
With respect to any Eligible SES Reference Entity, the Reference Obligation(s)
listed under the heading “SES Contract Reference Obligations” for such Eligible
SES Reference Entity in the List of Eligible SES Reference Entities (which, for
the avoidance of doubt, may indicate “No Reference Obligation”, indicating that
no obligation is specified as a Reference Obligation). In the case of a 2014-Type
CDS Contract where “Standard Reference Obligation” is applicable to the SES
Reference Entity and ICE Clear Credit has implemented the Standard Reference
Obligation, the SES Contract Reference Obligation shall thereafter be such
Standard Reference Obligation, subject to Section 2.9 of the 2014 Definitions.
SES Rules
The rules set forth in Chapters 1 through 8, 20 through 22, inclusive, and the
CDS Restructuring Rules, as modified by the provisions of this Subchapter 26D.
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26D-203.
Restriction on Activity.
(a)
In addition to the other rights granted to ICE Clear Credit in Rule 203, in the
event a CDS Participant (or a Non-Participant Party for whom such CDS
Participant is acting) is subject to an event or agreement described in Rule 26D206 or in the event such CDS Participant submits a Trade of the type described
in Rule 26D-309(c) that is not a Conforming Trade and such Trade is cleared
pursuant to these Rules (in each case, an “SR CDS Participant”), ICE Clear
Credit may conduct an auction process to replace all of the SR CDS Participant’s
Open CDS Positions in the affected CDS Contracts (including, if applicable,
those on behalf of any such Non-Participant Party) (each auction in such
process, an “SR Auction”). ICE Clear Credit shall have the authority to
determine the timing and other particular characteristics of each SR Auction in
consultation with the CDS Default Committee, including determining the size of
the bid/offer spread and/or of the CDS Contracts to be auctioned, whether one or
more SR Auctions are to be held and the timing and structure of such auctions
and whether CDS Participants other than the SR CDS Participant will be required
to submit actionable quotations in an SR Auction.
(b)
ICE Clear Credit shall enter into Trades in one or more CDS Contracts with the
CDS Participant(s) and in the amount determined pursuant to the SR Auction, at
which time the corresponding Open CDS Positions of the SR CDS Participant
shall be reduced or terminated, as applicable. The SR CDS Participant and the
other CDS Participants shall be obligated to submit to Deriv/SERV or another
service specified by ICE Clear Credit the terms of such reduction, termination or
Trade, as applicable. Amounts owed by the SR CDS Participant to (or receivable
by the SR CDS Participant from) ICE Clear Credit in connection with any such
reduction or termination shall be determined by ICE Clear Credit using the prices
determined pursuant to the SR Auctions. In addition, any Initial Payments,
Margin, or other payments or deliveries owed (including the dates of settlement
with respect thereto) relating to the Open CDS Positions increased, created,
reduced or terminated pursuant to this Rule 26D-203(b) shall be as determined
by ICE Clear Credit with reference to the SR Auction and, notwithstanding Rules
301 or 303, Initial Payments may be owed in respect to CDS Contracts entered
into by ICE Clear Credit pursuant to an SR Auction.
26D-206.
Notices Required of Participants with respect to SES Contracts.
In addition to the notice requirements contained in Rule 206, a CDS Participant shall
provide notice to ICE Clear Credit in the event that such CDS Participant (or a NonParticipant Party for whom such CDS Participant is acting) or an Eligible SES
Reference Entity consolidates or amalgamates with, or merges into, or transfers all or
substantially all of its assets to, the Eligible SES Reference Entity or such CDS
Participant (or Non-Participant Party for whom such CDS Participant is acting), as
applicable, or such CDS Participant (or Non-Participant Party for whom such CDS
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Participant is acting) and an Eligible SES Reference Entity are the same entity or are or
become Affiliates, or, subject to any restrictions on such disclosure imposed by law or
regulation, such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) is subject to an agreement pursuant to which any of the foregoing
is reasonably likely to occur.
26D-303.
SES Contract Adjustments.
In addition to the adjustments described in Rule 303, upon clearance of a Trade
otherwise equivalent to a SES Contract but that:
(a)
specifies an Eligible SES Reference Obligation as the “Reference Obligation”,
such Trade shall become an Open CDS Position in the SES Contract with the
SES Contract Reference Obligation specified for such Eligible SES Reference
Obligation in the List of Eligible SES Reference Entities;
(b)
an Event Determination Date has occurred with respect to a Restructuring, such
Trade shall become an Open CDS Position in the SES Contract for which no
such Event Determination Date has occurred; and/or
(c)
specifies a Transaction Type other than Standard Latin America Sovereign or
Standard Emerging European and Middle Eastern Sovereign, such Trade shall
become an Open CDS Position in the SES Contract otherwise equivalent to such
Trade but specifying Standard Latin America Sovereign or Standard Emerging
European and Middle Eastern Sovereign as the Transaction Type.
26D-309.
Acceptance of SES Contracts by ICE Clear Credit.
(a)
In addition to the acceptance process described in Rule 309, ICE Clear Credit’s
notice to the relevant CDS Participants that it has accepted a Trade submitted for
clearance shall include any adjustment that will be made by ICE Clear Credit
pursuant to Rule 26D-303. Such CDS Participants’ resubmission of the terms of
such Trade, as provided in Rule 309, shall include the adjustments described by
ICE Clear Credit in such notice.
(b)
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a SES Contract, and any such Trade shall not be a Conforming
Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to such SES
Contract;
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for such SES Contract; or
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(iii)
on or after the calendar day following the day on which the Final List (as
defined in the DC Rules) is published for a Restructuring CDS Contract
and at or before the close of business on the calendar day following the
CDS Regional Business Day following the latest possible Exercise Cut-off
Date for the related Relevant Restructuring Credit Event under such
Restructuring CDS Contract;
(such time with respect to any SES Contract, the “Clearance Cut-off Time”);
provided that ICE Clear Credit may, by written notice to all CDS Participants
following consultation with the Risk Committee, designate a time other than the
time determined pursuant to clauses (i) through (iii) above as the Clearance Cutoff Time with respect to any SES Contract.
(c)
A CDS Participant may not submit a Trade for clearance as a SES Contract, and
any such Trade shall not be a Conforming Trade, if the time of submission of the
Trade or acceptance or the Novation Time would be at a time when the CDS
Participant (or any Non-Participant Party for whom such CDS Participant is
acting) is, or is an Affiliate of, the Eligible SES Reference Entity for such SES
Contract or is subject to an agreement under which it is reasonably likely that the
CDS Participant (or any such Non-Participant Party) will become, or will become
an Affiliate of, the Eligible SES Reference Entity for such SES Contract. ICE
Clear Credit will not accept a Trade for clearance and settlement if at the time of
submission or acceptance of the Trade or at the time of novation the Participant
submitting the Trade is domiciled in the country of the Eligible SES Reference
Entity for such SES Contract.
(d)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
(e)
If ICE Clear Credit determines that any Trade submitted for clearance would
have been subject to a Succession Event (in the case of a 2003-Type CDS
Contract) or circumstances giving rise to a Successor and a Succession Date (in
the case of a 2014-Type CDS Contract) but will no longer be subject to such
Succession Event or such circumstances, as the case may be, upon clearance
because of the Trade Date that would be specified with respect to the related
Open CDS Position, ICE Clear Credit shall take such action as it deems
necessary to ensure that such Succession Event is given effect or such
circumstances are given effect, as the case may be, with respect to such Trade,
including, without limitation, declining to accept such Trade for clearance or
specifying an alternate Trade Date for purposes of Section 2.1 of the Applicable
Credit Derivatives Definitions with respect to the relevant portion of the related
Open CDS Position.
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26D-315.
Terms of the Cleared SES Contract.
(a)
Any capitalized term used in this Subchapter 26D but not defined in these SES
Rules shall have the meaning provided in the Credit Derivatives Definitions.
(b)
For purposes of the CDS Committee Rules, for an SES Contract where the
Transaction Type is Standard Latin America Sovereign the CDS Region is the
North American Region; where the Transaction Type is Standard Emerging
European and Middle Eastern Sovereign the CDS Region is the European
Region.
(c)
The definitions and provisions contained in the Applicable Credit Derivatives
Definitions (for the purposes of the SES Rules only, the “Credit Derivatives
Definitions”) are incorporated into the SES Rules. In the event of any
inconsistency between the Credit Derivatives Definitions or the Confirmation
(including in electronic form) for a SES Contract and these SES Rules, these
SES Rules will govern.
(d)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2003 Definitions:
(i)
If a Convened DC (as defined in the DC Rules) resolves, pursuant to the
DC Rules, (i) a question of interpretation regarding the provisions of the
July 2009 Protocol (as defined in the DC Rules) or (ii) to make any
amendments to Schedule 1 of the July 2009 Protocol, in each case that
affect a SES Contract, ICE Clear Credit shall, as promptly as practicable,
make conforming changes to these Rules in order to implement such
resolutions. Notwithstanding anything to the contrary in Rule 616, any
change made to the Rules in accordance with this paragraph (d) shall not
constitute a Contract Modification.
(ii)
Section 3.2(c)(i) of the Credit Derivatives Definitions is hereby amended
by replacing the “or” at the end of subparagraph (B) thereof with an “and”
and adding the following as a new subparagraph (C):
“(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SES Contracts;
or”.
(iii)
Except for purposes of Section 1.23 of the Credit Derivatives Definitions, a
Credit Event Notice and Notice of Publicly Available Information with
respect to a SES Contract will be deemed to have been effectively
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delivered by the Notifying Party for a Credit Event other than Restructuring
on the relevant Event Determination Date determined under the CDS
Committee Rules only when the Resolution is effective, under the CDS
Committee Rules, that a Credit Event other than Restructuring has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SES Contract.
Notwithstanding anything to the contrary in the Credit Derivatives
Definitions, any delivery of a Credit Event Notice and/or Notice of Publicly
Available Information by a CDS Participant (other than (i) the deemed
delivery as provided in this Rule 26D-315(f) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
(iv)
(A)
Section 1.8(a)(ii)(A)(I)(3)(y) of the Credit Derivatives Definitions is
hereby modified by replacing the term “Auction Final Price Determination
Date” with the phrase “date that is one Relevant City Business Day prior to
the Auction Settlement Date”.
(B)
Section 1.30 of the Credit Derivatives Definitions is hereby modified
by replacing the term “Auction Final Price Determination Date” in clause
(ii) of the last sentence thereof with the phrase “date that is one Relevant
City Business Day prior to the Auction Settlement Date”.
(v)
With respect to SES Contracts for which it is Resolved by the applicable
Regional CDS Committee (or applicable Dispute Resolver) or Credit
Derivatives Determinations Committee that a Credit Event has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may
not deliver a Notice of Physical Settlement until after it is determined that
the method of settlement for a particular Credit Event is the Fallback
Settlement Method due to the occurrence of one of the events in Section
12.1 of the Credit Derivatives Definitions and as further provided in the
CDS Physical Settlement Rules. For the avoidance of doubt, the
effectiveness of any Notice of Physical Settlement and obligations relating
thereto are subject to the suspension and finality provisions of Sections
6.5 and 9.1(c)(iii) of the Credit Derivatives Definitions.
(vi)
Notwithstanding Section 2.9 of the Credit Derivatives Definitions, the initial
Fixed Rate Payer Calculation Period shall commence on, and include, the
Fixed Rate Payer Payment Date falling on or immediately prior to the
calendar day immediately following the Trade Date.
For purposes of this provision, Section 2.10 of the Credit Derivatives
Definitions shall be deemed amended by deleting the words “during the
term of the transaction”.
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(e)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2014 Definitions:
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the “.” at the end of subparagraph (B) thereof with an “; and” and adding
the following as a new subparagraph (C):
“(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SES
Contracts.".
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a SES
Contract for a Credit Event other than M(M)R Restructuring will be
deemed to have been effectively delivered by the Notifying Party on the
relevant Event Determination Date determined under the CDS Committee
Rules only when the Resolution is effective, under the CDS Committee
Rules, that a Credit Event other than M(M)R Restructuring has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii), with respect to such SES Contract.
Notwithstanding anything to the contrary in the 2014 Definitions, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26D-315(e)(ii) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to SES Contracts for which it is Resolved by the Regional
CDS Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which
there is Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver
a Notice of Physical Settlement until after it is determined that the method
of settlement for a particular Credit Event is the Fallback Settlement
Method due to the occurrence of one of the events in Section 6.1 of the
2014 Definitions, and as further provided in the CDS Physical Settlement
Rules. For the avoidance of doubt, the effectiveness of any Notice of
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Physical Settlement and obligations relating thereto are subject to the
suspension and finality provisions of Sections 10.1 and 10.2 of the 2014
Definitions.
(v)
Section 11.4 of the Credit Derivatives Definitions shall not apply.
(f)
The Settlement Method for particular SES Contracts will be Auction Settlement
and the Fallback Settlement Method will be Physical Settlement in accordance
with the CDS Physical Settlement Rules.
(g)
The following terms will apply to each SES Contract:
(h)
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iii)
The “Fixed Rate Payer Payment Dates” will be March 20, June 20,
September 20 and December 20.
(iv)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a SES
Contract that is accepted for clearing pursuant to Rule 309 after the Trade
Date thereof, the “Initial Payment Date” will be the date that is the first
Business Day following the date as of which such SES Contract is
accepted for clearing pursuant to Rule 309.
For each SES Contract, the following terms will be determined according to the
particular SES Contract submitted for clearing, subject to Rule 26D-303:
(i)
Which of the Eligible SES Reference Entities is the “Reference Entity”.
(ii)
Which of the SES Contract Reference Obligations specified for the
Reference Entity in the List of Eligible SES Reference Entities is the
“Reference Obligation”.
(iii)
The “Trade Date”.
(iv)
The “Effective Date”.
(v)
Which of the eligible Scheduled Termination Dates specified for the
“Reference Entity” in the List of Eligible SES Reference Entities is the
“Scheduled Termination Date”.
(vi)
The “Floating Rate Payer Calculation Amount”.
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(vii)
The “Floating Rate Payer”.
(viii)
The “Fixed Rate Payer”.
(ix)
The “Fixed Rate”.
(x)
The “Transaction Type”, which may be Standard Latin America Sovereign
or Standard Emerging European and Middle Eastern Sovereign.
(xi)
If applicable, the Matrix Publication Date for the Relevant Physical
Settlement Matrix.
(xii)
The “Initial Payment Payer”.
(xiii)
The “Initial Payment Amount”.
(xiv)
Which of the eligible Applicable Credit Derivatives Definitions applies.
(xv)
In the case of a 2014-Type CDS Contract, which of the eligible Seniority
Levels applies.
26D-316.
Relevant Physical Settlement Matrix Updates.
(a)
Where ISDA publishes a version of the Credit Derivatives Physical Settlement
Matrix (a “New SES Matrix”) that is subsequent to the version that is specified as
the Relevant Physical Settlement Matrix for any SES Contract(s), and the Board
or its designee determines that updating such SES Contract(s) to reference the
New SES Matrix would not constitute a Contract Modification as provided in Rule
616 (the date of such determination, the “SES Matrix Update Date” and each
prior Credit Derivatives Physical Settlement Matrix subject to such determination,
a “Superseded SES Matrix”) and so notifies CDS Participants, such SES
Contracts shall, as of the close of business on the SES Matrix Update Date,
become SES Contracts referencing the New SES Matrix as the Relevant
Physical Settlement Matrix and the List of Eligible SES Reference Entities shall
be updated accordingly. Any Trade referencing a Superseded SES Matrix
submitted for clearing as a SES Contract shall, upon acceptance for clearing,
become a SES Contract referencing the New SES Matrix.
(b)
The Board or its designee may determine a different SES Matrix Update Date
applicable to individual SES Contracts or groups of SES Contracts or may
determine a SES Matrix Update Date applicable to all SES Contracts referencing
a Superseded SES Matrix, as it deems appropriate.
26D-502.
Specified Actions.
Notwithstanding anything to the contrary in Rule 502(a) but without limiting the
application of Rule 616 to any Modification (including the requirement of consultation
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with the Risk Committee, as provided in Rule 502(a), prior to determining that a
Modification is not a Contract Modification), none of the following shall constitute a
Specified Action: (a) adding and/or Modifying Permitted SES Fixed Rates, (b) adding
new Eligible SES Reference Entities and related Transaction Types, and adding and/or
Modifying any other entries in any of the fields in the List of Eligible SES Reference
Entities or (c) an update to the List of Eligible SES Reference Entities, as described in
Rules 26D-316 and 26D-616.
26D-616.
Contract Modification.
(a)
It shall not constitute a Contract Modification if the Board or its designee updates
the List of Eligible SES Reference Entities (and modifies the terms and
conditions of related SES Contracts) to give effect to determinations by the
applicable Regional CDS Committee (or applicable Dispute Resolver) or a Credit
Derivatives
Determinations
Committee,
including,
without
limitation,
determinations of Succession Events or circumstances that give rise to
Successors and Succession Dates, or Substitute Reference Obligations or
implementation of Standard Reference Obligations (or changes thereto). In
addition, the determination that “Standard Reference Obligation” will be
applicable to an Eligible SES Reference Entity shall not constitute a Contract
Modification.
(b)
Notwithstanding anything to the contrary herein (including Rule 616(b)), with
respect to Open Positions in SES Contracts that are Converting Contracts,
effective as of the 2003/2014 Changeover Effective Date and without need for
further action or determination by the Board, the terms of each such Contract will
be deemed amended such that it is a 2014-Type CDS Contract under these
Rules, the Applicable Credit Derivatives Definitions are the 2014 Definitions and
it references the New SES Matrix with an SES Matrix Update Date of the
2003/2014 Changeover Effective Date. The amendments made by this rule 26D616 shall apply as of the 2003/2014 Changeover Effective Date regardless of
whether any relevant transaction record in Deriv/SERV is updated to reflect such
amendments.
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26E. CDS Restructuring Rules.
The rules in this Subchapter 26E apply to the clearance of Relevant Restructuring
Contracts.
26E-102
Definitions
Matched CDS Buyer
The Buyer in a Matched Restructuring Pair.
Matched CDS Buyer Contract
A CDS Contract (or part thereof) between a Matched CDS Buyer for a Matched
Restructuring Pair and ICE Clear Credit having a Floating Rate Payer Calculation
Amount equal to the MP Amount relating to that Matched Restructuring Pair.
Matched CDS Contract
A Matched CDS Seller Contract or a Matched CDS Buyer Contract.
Matched CDS Seller
The Seller in a Matched Restructuring Pair.
Matched CDS Seller Contract
A CDS Contract (or part thereof) between a Matched CDS Seller for a Matched
Restructuring Pair and ICE Clear Credit having a Floating Rate Payer Calculation
Amount equal to the MP Amount relating to that Matched Restructuring Pair.
Matched Restructuring Pair
Following a Relevant Restructuring Contract becoming a Restructuring CDS
Contract pursuant to these Rules, a matched pair of a Buyer and a Seller under
such Restructuring CDS Contract with an allocated Floating Rate Payer
Calculation Amount, as determined by ICE Clear Credit in accordance with the
CDS Restructuring Rules.
MP Amount
An amount equal to the portion of a Floating Rate Payer Calculation Amount in
respect of which ICE Clear Credit matches a Matched Restructuring Pair.
Regional CDS Committee Restructuring Announcement
The announcement by ICE Clear Credit that a Regional CDS Committee (or
Dispute Resolver) has Resolved that an event that constitutes a Restructuring
has occurred with respect to one or more CDS Contracts.
Relevant Restructuring Contract
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A CDS Contract (or, in respect of a CDS Contract that relates to an index, a CDS
Contract which is a Component Transaction (including a New Trade)) for which a
Relevant Restructuring Credit Event is a Credit Event.
Relevant Restructuring Credit Event
(i) With respect to a 2003-Type CDS Contract, a Restructuring Credit Event and
(ii) with respect to a 2014-Type CDS Contract, an M(M)R Restructuring Credit
Event.
Restructuring CDS Contract
A Relevant Restructuring Contract that is subject to a Restructuring Credit Event
Announcement; provided that if, after such announcement has been made, a
further DC Credit Event Announcement or Regional CDS Committee
Announcement is made of the occurrence of a Credit Event other than
Restructuring in relation to the Reference Entity and such CDS Contract, such
CDS Contract, to the extent that it has not become a Triggered Restructuring
CDS Contract, will cease to be a Restructuring CDS Contract and provided
further that any Restructuring CDS Contract, to the extent that it is not a
Triggered Restructuring CDS Contract, in respect of which an effective
Restructuring Credit Event Notice can no longer be delivered will cease to be a
Restructuring CDS Contract (but will continue to be a CDS Contract subject to
the provisions of these Rules).
Restructuring Credit Event Announcement
A DC Credit Event Announcement in respect of Restructuring Credit Event or a
Regional CDS Committee Restructuring Announcement.
Restructuring Reference Entity
The Reference Entity in respect of which a DC Credit Event Announcement or
Regional CDS Committee Restructuring Announcement has been made in
respect of a Restructuring Credit Event.
Triggered Restructuring CDS Contract
An Open CDS Position (or portion thereof) in a Restructuring CDS Contract that
is the subject of an effective Restructuring Credit Event Notice pursuant to the
CDS Restructuring Rules; provided that, where permitted under Section 3.9 of
the 2003 Definitions (in the case of a 2003-Type CDS Contract) or Section 1.33
of the 2014 Definitions (in the case of a 2014-Type CDS Contract), as applicable,
if such Restructuring Credit Event Notice specifies an Exercise Amount that is
less than the Floating Rate Payer Calculation Amount of the Restructuring CDS
Contract, such Restructuring CDS Contract shall be construed, pursuant to
Section 3.9 of the 2003 Definitions or Section 1.33 of the 2014 Definitions, as
applicable, as if the parties had entered into two Restructuring CDS Contracts,
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one of which will constitute the Triggered Restructuring CDS Contract and has a
Floating Rate Payer Calculation Amount equal to the Exercise Amount and the
other of which has a Floating Rate Payer Calculation Amount equal to the
Floating Rate Payer Calculation Amount outstanding immediately prior to the
delivery of the Restructuring Credit Event Notice minus the Exercise Amount.
26E-103
(a)
Allocation of Matched Restructuring Pairs
With respect to a Restructuring CDS Contract, following the occurrence of the
DC Credit Event Announcement or Regional CDS Committee Restructuring
Announcement:
(i)
ICE Clear Credit will match each Seller with one or more Buyers each of
which is party to a Restructuring CDS Contract of the same type (such
Restructuring CDS Contracts thereby becoming Matched CDS Contracts and
each matched CDS Seller and CDS Buyer becoming a Matched Restructuring
Pair), such that the Floating Rate Payer Calculation Amount related to each
Matched CDS Seller under each Matched CDS Contract is fully allocated to one
or more CDS Buyers under Matched CDS Contracts of the same type as the
Matched CDS Seller Contract; and
(ii)
ICE Clear Credit will notify each relevant CDS Buyer and CDS Seller of
the Matched CDS Contracts, Matched CDS Buyer and Matched CDS Seller
(such notice, for purposes of this Rule, the "Matched Restructuring Pair
Notice") and the associated MP Amount.
(b)
If ICE Clear Credit has delivered a Matched Restructuring Pair Notice that
specifies a MP Amount that is less than the outstanding Floating Rate Payer
Calculation Amount applicable to a Matched CDS Contract to which such
Matched Restructuring Pair Notice relates, the relevant rights and obligations of
ICE Clear Credit and the relevant CDS Participant pursuant to the Matched CDS
Contract shall, with effect from the date such Matched Restructuring Pair Notice
is effective, be construed as if ICE Clear Credit and the relevant CDS Participant
have entered into two Restructuring CDS Contracts, one of which has a Floating
Rate Payer Calculation Amount equal to the MP Amount and the other of which
has a Floating Rate Payer Calculation Amount equal to the Floating Rate Payer
Calculation Amount outstanding immediately prior to delivery of such Matched
Restructuring Pair Notice minus the MP Amount.
(c)
With respect to a Triggered Restructuring CDS contract to which Physical
Settlement applies (including as a result of a fallback settlement) under Chapter
22 of the Rules, the related Matched Restructuring Pair will also constitute a
Matched Delivery Pair for purposes of Chapter 22 of the Rules.
26E-104
(a)
Matched Restructuring Pairs: Designations and Notices
In respect of each Matched CDS Buyer Contract which is the subject of a
Matched Restructuring Pair, ICE Clear Credit, pursuant to Section 9.2(c)(iv) of
the 2003 Definitions (in the case of a 2003-Type CDS Contract) or Section
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11.2(c)(iv) of the 2014 Definitions (in the case of a 2014-Type CDS Contract), as
applicable (each as may be modified in the ICE Clear Credit Procedures), as
designator, shall be deemed to have designated the Matched CDS Seller in such
Matched Restructuring Pair as its designee:
(i)
to receive on its behalf from the Matched CDS Buyer in the Matched
Restructuring Pair, Credit Event Notices and, where applicable, Notices to
Exercise Movement Option, in relation to any Restructuring CDS Contract or
Triggered Restructuring CDS Contract, as the case may be;
(ii)
to deliver on its behalf to the Matched CDS Buyer in the Matched
Restructuring Pair Credit Event Notices and, where applicable, Notices to
Exercise Movement Option, in relation to any Restructuring CDS Contract or
Triggered Restructuring CDS Contract, as the case may be.
(b)
In respect of each Matched CDS Seller Contract which is the subject of a
Matched Restructuring Pair, ICE Clear Credit, pursuant to Section 9.2(c)(iv) of
the 2003 Definitions (in the case of a 2003-Type CDS Contract) or Section
11.2(c)(iv) of the 2014 Definitions (in the case of a 2014-Type CDS Contract), as
applicable (each as may be modified in the ICE Clear Credit Procedures), as
designator, shall be deemed to have designated the Matched CDS Buyer in such
Matched Restructuring Pair as its designee:
(i)
to deliver on its behalf to the Matched CDS Seller in the Matched
Restructuring Pair, Credit Event Notices and, where applicable, Notices to
Exercise Movement Option, in relation to any Restructuring CDS Contract or
Triggered Restructuring CDS Contract, as the case may be;
(ii)
to receive on its behalf from the Matched CDS Seller in the Matched
Restructuring Pair Credit Event Notices and, where applicable, Notices to
Exercise Movement Option, in relation to any Restructuring CDS Contract or
Triggered Restructuring CDS Contract, as the case may be;
(c)
In relation to each Matched Restructuring Pair:
(i)
the exercise of any rights by the Matched CDS Buyer against ICE Clear
Credit under a Matched CDS Buyer Contract shall be deemed to constitute the
exercise of equal and simultaneous rights by ICE Clear Credit against the
Matched CDS Seller under the Matched CDS Seller Contract in the relevant
Matched Restructuring Pair;
(ii)
the exercise of any rights of the Matched CDS Seller against ICE Clear
Credit under a Matched CDS Seller Contract shall be deemed to constitute the
exercise of equal and simultaneous rights by ICE Clear Credit against the
Matched CDS Buyer under the Matched CDS Buyer Contract in the relevant
Matched Restructuring Pair;
(iii)
where the Matched CDS Buyer validly delivers or serves any notice to the
Matched CDS Seller in accordance with the Rules, such notice shall be effective
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with respect to both the Matched CDS Buyer Contract and the Matched CDS
Seller Contract; and
(iv)
where the Matched CDS Seller validly delivers or serves any notice to the
Matched CDS Buyer in accordance with the Rules, such notice shall be effective
with respect to both the Matched CDS Buyer Contract and the Matched CDS
Seller Contract.
(d)
Following delivery by a Matched CDS Buyer or Matched CDS Seller of any notice
of a nature referred to in subsection (a) or (b) (any such notice, a "MP Notice"),
the CDS Participant that delivered such MP Notice shall, at the times and in the
circumstances specified by ICE Clear Credit, deliver a written copy of such MP
Notice to ICE Clear Credit. ICE Clear Credit will provide a copy of the copy of
each MP Notice received by it to both CDS Participants in each Matched
Restructuring Pair under which an MP Notice has been served or appears to
have been served. Any CDS Participant in a Matched Restructuring Pair which
disputes any MP Notice, or which considers that an MP Notice additional to those
copied to it by ICE Clear Credit has been served, must inform ICE Clear Credit.
Unless ICE Clear Credit receives any notice disputing an MP Notice, ICE Clear
Credit will update its and Deriv/SERV's records and will require the relevant CDS
Participants to update Deriv/SERV's records on the basis of the MP Notices (or
on the basis of equivalent information) notified by ICE Clear Credit to the
Matched CDS Buyer and Matched CDS Seller in the Matched Restructuring Pair.
ICE Clear Credit shall not be obliged to act upon any disputed MP Notice until
the relevant dispute has been resolved.
(e)
The Matched CDS Buyer and Matched CDS Seller in each Matched
Restructuring Pair shall each make such payments and deliveries and deliver
such notices in relation to settlement to one another and to ICE Clear Credit as
are required pursuant to a Matched CDS Contract, these Rules or Applicable
Laws.
(f)
ICE Clear Credit may establish electronic or manual processes for the delivery
and receipt of MP Notices, on such terms as ICE Clear Credit shall specify.
(g)
Any purported delivery of a Notice to Exercise Movement Option outside of the
permitted triggering period under the applicable contract terms shall not amount
to valid delivery of that notice and shall be disregarded by ICE Clear Credit and
Participants in relation to any Restructuring CDS Contract.
26E-105
Separation of Matched Restructuring Pairs
(a)
If:-
(i)
a Restructuring Credit Event Announcement has been made; and
(ii)
a subsequent announcement by the relevant decision body has
been made that the relevant Restructuring Credit Event did not in fact
occur,
then:
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(I)
to the extent that ICE Clear Credit has not by then matched Sellers
with Buyers to form Matched Restructuring Pairs in relation to the relevant
CDS Contracts, pursuant to Rule 26E-103, it shall not do so; and
(II)
to the extent that ICE Clear Credit has by then matched Sellers with
Buyers to form Matched Restructuring Pairs in relation to the relevant
CDS Contracts pursuant to Rule 26E-103, ICE Clear Credit shall:
(A)
with respect to relevant CDS Contracts to which Auction Settlement
is applicable and where the subsequent resolution of the relevant decision
body in (ii) above occurs prior to the Auction Final Price Determination
Date, reverse such matching; and
(B)
with respect to relevant CDS Contracts to which the Fallback
Settlement Method is applicable, to the extent that ICE Clear Credit has by
then matched CDS Sellers with CDS Buyers to form Matched
Restructuring Pairs in relation to the relevant CDS Contracts pursuant to
Rule 26E-103, ICE Clear Credit shall, as soon as reasonably practicable,
give a Matching Reversal Notice to the Seller and Buyer forming each
affected Matched Restructuring Pair of the proposal to reverse such
matching and shall thereafter reverse such matching, provided that ICE
Clear Credit will not reverse any matching to the extent that the Matched
CDS Buyer or Matched CDS Seller has, not later than one Business Day
after the Matching Reversal Notice, given notice to ICE Clear Credit that
the relevant Matched Restructuring Pair have settled the relevant Matched
CDS Contracts (or part thereof).
(b)
In relation to any Matched CDS Contract for which the matching of the related
Matched Restructuring Pair is reversed pursuant to subsection (a) of this Rule,
ICE Clear Credit will recalculate Margin on the basis that such CDS Contract is
no longer a Matched CDS Contract and will adjust the Margin required by it
accordingly.
(c)
In relation to any Matched CDS Contract for which the matching of the related
Matched Restructuring Pair is reversed pursuant to subsection (a) of this Rule,
any notices sent by the Matched CDS Buyer or the Matched CDS Seller to the
other for the purposes or in connection with the settlement of the relevant
Matched CDS Contracts will be deemed not to have been delivered and will be
ineffective.
(d)
For the avoidance of doubt, reversal of a Matched CDS Contract means that the
relevant CDS Participants together with ICE Clear Credit will restore the CDS
Contracts that existed before the initial Credit Event determination occurred
including by amending records in Deriv/SERV.
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26F. iTraxx Europe.
The rules in this Subchapter 26F apply to the clearance of iTraxx Europe Untranched
Contracts.
26F-102.
Definitions.
iTraxx Europe Untranched Contract
A credit default swap in respect of any Eligible iTraxx Europe Untranched Index
and governed by any iTraxx Europe Untranched Terms Supplement. An iTraxx
Europe Untranched Contract is a CDS Contract for purposes of Chapter 20.
iTraxx Europe Untranched Publisher
Markit Group Limited or its successor, or any successor sponsor of the Eligible
iTraxx Europe Untranched Indexes it publishes.
iTraxx Europe Untranched Rules
The rules set forth in Chapters 1 through 8 and 20 through 22, inclusive, as
modified by the provisions of Subchapter 26E and this Subchapter 26F.
iTraxx Europe Untranched Terms Supplement
Any one of the following:
(a) The iTraxx Europe Untranched Standard Terms Supplement as
published on November 23, 2009 together with the third paragraph of the
form of confirmation published on November 23, 2009 with respect to such
standard terms supplement (or any relevant electronic equivalent thereof).
(b) The iTraxx Europe Legacy Untranched Standard Terms Supplement
as published on or about September 20, 2014 together with the fourth
paragraph of the form of confirmation published on or about September
20, 2014 with respect to such standard terms supplement (or any relevant
electronic equivalent thereof) (the “Legacy 2014 Supplement”).
(c) The iTraxx Europe Untranched Standard Terms Supplement as
published on or about September 20, 2014 together with the third
paragraph of the form of confirmation published on or about September
20, 2014 with respect to such standard terms supplement (or any relevant
electronic equivalent thereof) (the “New 2014 Supplement”, and together
with the Legacy 2014 Supplement, the “2014 Supplements”).
(d) Such other supplement as may be specified in relation to any Eligible
iTraxx Europe Untranched Index by ICE Clear Credit, including any
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successor to any of the documents listed in subparagraphs (a), (b) or (c)
of this definition.
For purposes of each iTraxx Europe Untranched Contract, a reference in
the iTraxx Europe Untranched Terms Supplement to an “iTraxx Master
Transaction” shall be deemed a reference to an iTraxx Europe Untranched
Contract.
Eligible iTraxx Europe Untranched Index
Each particular series and version of an iTraxx Europe index or sub-index, as
published by the iTraxx Europe Untranched Publisher, determined by ICE Clear
Credit to be eligible and included in the List of Eligible iTraxx Europe Untranched
Indexes.
List of Eligible iTraxx Europe Untranched Indexes
The list of Eligible iTraxx Europe Untranched Indexes, maintained, updated and
published by the Board or its designee on the ICE Clear Credit website,
specifying the following information with respect to each index:
(a)
the name and series, including any applicable sub-index designation;
(b)
the “Effective Date”;
(c)
one or more eligible “Scheduled Termination Dates” and the applicable
“Fixed Rate” for each such date;
(d)
the Relevant iTraxx Europe Untranched Terms Supplement;
(e)
the versions (and related annex dates) eligible for clearing (and, if
applicable for the relevant index, the Applicable Credit Derivatives
Definitions for each component); and
(f)
any inactive versions (and related annex dates), i.e., those that have been
determined to be fungible with later versions.
Relevant iTraxx Europe Untranched Terms Supplement
With respect to an Eligible iTraxx Europe Untranched Index, the iTraxx Europe
Untranched Terms Supplement specified for such Eligible iTraxx Europe
Untranched Index in the List of Eligible iTraxx Europe Untranched Indexes.
26F-309.
Credit.
Acceptance of iTraxx Europe Untranched Contracts by ICE Clear
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(a)
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a iTraxx Europe Untranched Contract, and any such Trade shall not
be a Conforming Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to a Credit
Event with respect to such iTraxx Europe Untranched Contract; or
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for a Credit Event with respect to such
iTraxx Europe Untranched Contract;
(such time with respect to any iTraxx Europe Untranched Contract, the
“Clearance Cut-off Time”); provided that ICE Clear Credit may, by written notice
to all CDS Participants following consultation with the Risk Committee, designate
a time other than the time determined pursuant to clause (i) or (ii) above as the
Clearance Cut-off Time with respect to any iTraxx Europe Untranched Contract.
CDS Participants may again submit Trades for clearance as such iTraxx Europe
Untranched Contract, and such Trades shall again be Conforming Trades,
following receipt of notice from ICE Clear Credit that a Fungibility Date (as
defined in Rule 26F-316) has occurred with respect to such iTraxx Europe
Untranched Contract.
(b)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
26F-315.
Terms of the Cleared iTraxx Europe Untranched Contract.
(a)
Any capitalized term used in this Subchapter 26F but not defined in these iTraxx
Europe Untranched Rules shall have the meaning provided in the Relevant
iTraxx Europe Untranched Terms Supplement.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each iTraxx
Europe Untranched Contract is the European Region.
(c)
Each iTraxx Europe Untranched Contract will be governed by the Relevant
iTraxx Europe Untranched Terms Supplement, as modified by these iTraxx
Europe Untranched Rules. In the event of any inconsistency between the
Relevant iTraxx Europe Untranched Terms Supplement or the Confirmation
(including in electronic form) for a iTraxx Europe Untranched Contract and these
iTraxx Europe Untranched Rules, these iTraxx Europe Untranched Rules will
govern.
26F-316.
Updating Index Version of Fungible Contracts After a Credit Event or
a Succession Event; Updating Relevant Untranched Standard Terms
Supplement.
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(a)
Where the iTraxx Europe Untranched Publisher of an Eligible iTraxx Europe
Untranched Index publishes one or more subsequent versions or annexes of the
relevant series following a Credit Event or a Succession Event or circumstances
giving rise to a Successor and Succession Date with respect to a Reference
Entity included in such series, and the Board or its designee determines that
iTraxx Europe Untranched Contracts referencing the earlier version or annex of
such series are fungible with iTraxx Europe Untranched Contracts referencing a
later version or annex of such series that is an Eligible iTraxx Europe Untranched
Index and so notifies CDS Participants, iTraxx Europe Untranched Contracts
referencing the earlier version or annex of such series shall become iTraxx
Europe Untranched Contracts referencing such later version or annex of such
series on the date determined by the Board or its designee (the “Fungibility
Date”). Any iTraxx Europe Untranched Contracts referencing the earlier version
or annex of such series submitted for clearing after the related Fungibility Date
shall, upon acceptance for clearing, become a iTraxx Europe Untranched
Contract referencing the latest version or annex of such series that the Board or
its designee has determined is fungible with such earlier version or annex.
(b)
Where a new version of the iTraxx Europe Untranched Terms Supplement (a
“New Standard Terms”) is published as of a date that is subsequent to the date
of the version that is specified as the Relevant iTraxx Europe Untranched Terms
Supplement for any iTraxx Europe Untranched Contract(s) (the “Existing
Standard Terms”), and the Board or its designee determines that iTraxx Europe
Untranched Contracts referencing the Existing Standard Terms are fungible with
iTraxx Europe Untranched Contracts referencing the New Standard Terms, and
so notifies CDS Participants, iTraxx Europe Untranched Contracts referencing
the Existing Standard Terms shall become iTraxx Europe Untranched Contracts
referencing the New Standard Terms on the date determined by the Board or its
designee (the “Standard Terms Update Date” and each prior iTraxx Europe
Untranched Terms Supplement subject to such determination, a “Superseded
Standard Terms”). Any Trade referencing a Superseded Standard Terms
submitted for clearing as a iTraxx Europe Untranched Contract shall, upon
acceptance for clearing, become a iTraxx Europe Untranched Contract
referencing the New Standard Terms.
(c)
The Board or its designee may determine a different Fungibility Date or Standard
Terms Update Date applicable to individual iTraxx Europe Untranched Contracts
or groups of iTraxx Europe Untranched Contracts or may determine a Fungibility
Date or Standard Terms Update Date applicable to all iTraxx Europe Untranched
Contracts referencing the earlier version or annex of a series described in
clauses (a) or (b) of this Rule, as it deems appropriate.
(d)
Notwithstanding anything to the contrary herein (including Rule 616(b)), with
respect to Open Positions in iTraxx Europe Untranched Contracts that are
Converting Contracts, effective as of the 2003/2014 Changeover Effective Date
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and without need for further action or determination by the Board, the terms of
each such Contract shall be deemed amended such that it references the
applicable 2014 Supplement as set forth in the List of Eligible iTraxx Europe
Indexes in lieu of the Relevant iTraxx Europe Untranched Terms Supplement in
effect prior to such date. The amendments made by this rule 26F-316(d) shall
apply as of the 2003/2014 Changeover Effective Date regardless of whether any
relevant transaction record in Deriv/SERV is updated to reflect such
amendments.
26F-317.
Terms of iTraxx Europe Untranched Contracts.
With respect to each iTraxx Europe Untranched Contract, the following terms will apply:
(a)
The following provisions will apply to each iTraxx Europe Untranched Contract or
component thereof to which the 2003 Definitions apply under the Relevant iTraxx
Europe Untranched Terms Supplement:
(i)
Section 3.2(c)(i) of the 2003 Definitions is hereby amended by replacing
the "or" at the end of subparagraph (B) thereof with an "and" and adding
the following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such iTraxx Europe
Untranched Contracts; or".
(ii)
For the purposes of any determination as to whether a Credit Event has
occurred in respect of a Reference Entity or an Obligation thereof:
(A)
at any time up to but excluding June 20, 2009; or
(B)
if (1) a Credit Event Resolution Request Date occurs or (2) a Credit
Event Notice and a Notice of Publicly Available Information are
deemed delivered pursuant to Rule 2101-02(f) by a Notifying Party,
in either case before June 20, 2009,
the Credit Event Backstop Date with respect to such determination shall be
deemed to be the Effective Date.
(iii)
For the purposes of any determination as to whether a Succession Event
has occurred in respect of a Reference Entity:
(A)
at any time up to but excluding June 20, 2009; or
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(B)
if (1) a Succession Event Resolution Request Date occurs or (2) a
Succession Event Notice is deemed delivered pursuant to Rule
2101-02(f), in either case before June 20, 2009,
the Succession Event Backstop Date with respect to such Reference Entity shall
be deemed to be the Effective Date.
(iv)
Except for purposes of Rule 26F-317(a)(ii) and Section 1.23 of the 2003
Definitions, a Credit Event Notice and Notice of Publicly Available
Information with respect to a iTraxx Europe Untranched Contract for a
Credit Event other than Restructuring will be deemed to have been
effectively delivered by the Notifying Party on the relevant Event
Determination Date determined under the CDS Committee Rules only
when the Resolution is effective, under the CDS Committee Rules, that a
Credit Event other than Restructuring has occurred for which there is
Publicly Available Information, as described in CDS Committee Rule
2101-02(a)(iii), with respect to such iTraxx Europe Untranched Contract.
Notwithstanding anything to the contrary in the 2003 Definitions or any
Relevant iTraxx Europe Untranched Terms Supplement, any delivery of a
Credit Event Notice and/or Notice of Publicly Available Information by a
CDS Participant (other than (i) the deemed delivery as provided in this
Rule 26F-317(a)(iv) or (ii) notices with respect to a Relevant Restructuring
Credit Event as provided in the CDS Restructuring Rules) shall not be
valid.
(v)
Section 1.8(a)(ii)(A)(I)(3)(y) of the 2003 Definitions is hereby modified by
replacing the term “Auction Final Price Determination Date” with the
phrase “date that is one Relevant City Business Day prior to the Auction
Settlement Date”.
(vi)
Section 1.30 of the 2003 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” in clause (ii) of the last
sentence thereof with the phrase “date that is one Relevant City Business
Day prior to the Auction Settlement Date”.
(vii)
With respect to iTraxx Europe Untranched Contracts for which it is
Resolved by the Regional CDS Committee (or applicable Dispute
Resolver) or Credit Derivatives Determinations Committee that a Credit
Event has occurred for which there is Publicly Available Information, as
described in CDS Committee Rule 2101-02(a)(iii) or the DC Rules, as
applicable, Buyer may not deliver a Notice of Physical Settlement until
after it is determined that the method of settlement for a particular Credit
Event is the Fallback Settlement Method due to the occurrence of one of
the events in Section 12.1 of the 2003 Definitions and as further provided
in the CDS Physical Settlement Rules. For the avoidance of doubt, the
effectiveness of any Notice of Physical Settlement and obligations relating
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thereto are subject to the suspension and finality provisions of Sections
6.5 and 9.1(c)(iii) of the 2003 Definitions.
(b)
The following provisions will apply to each iTraxx Europe Untranched Contract or
component thereof to which the 2014 Definitions apply under the Relevant iTraxx
Europe Untranched Terms Supplement:
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such iTraxx Europe
Untranched Contracts.".
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a iTraxx
Europe Untranched Contract for a Credit Event other than M(M)R
Restructuring will be deemed to have been effectively delivered by the
Notifying Party on the relevant Event Determination Date determined
under the CDS Committee Rules only when the Resolution is effective,
under the CDS Committee Rules, that a Credit Event other than M(M)R
Restructuring has occurred for which there is Publicly Available
Information, as described in CDS Committee Rule 2101-02(a)(iii), with
respect to such iTraxx Europe Untranched Contract. Notwithstanding
anything to the contrary in the 2014 Definitions or the Relevant iTraxx
Europe Untranched Terms Supplement, any delivery of a Credit Event
Notice and/or Notice of Publicly Available Information by a CDS
Participant (other than (i) the deemed delivery as provided in this Rule
26F-317(b)(ii) or (ii) notices with respect to a Relevant Restructuring Credit
Event as provided in the CDS Restructuring Rules) shall not be valid. For
the avoidance of doubt, Section C.3 of the Legacy 2014 Supplement and
Section 5.7 of the New 2014 Supplement shall not apply.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to iTraxx Europe Untranched Contracts for which it is
Resolved by the Regional CDS Committee (or applicable Dispute
Resolver) or Credit Derivatives Determinations Committee that a Credit
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Event has occurred for which there is Publicly Available Information, as
described in CDS Committee Rule 2101-02(a)(iii) or the DC Rules, as
applicable, Buyer may not deliver a Notice of Physical Settlement until
after it is determined that the method of settlement for a particular Credit
Event is the Fallback Settlement Method due to the occurrence of one of
the events in Section 6.1 of the 2014 Definitions, and as further provided
in the CDS Physical Settlement Rules. For the avoidance of doubt, the
effectiveness of any Notice of Physical Settlement and obligations relating
thereto are subject to the suspension and finality provisions of Sections
10.1 and 10.2 of the 2014 Definitions.
(c)
The Settlement Method for particular iTraxx Europe Untranched Contracts will be
Auction Settlement and the Fallback Settlement Method will be Physical
Settlement in accordance with the CDS Physical Settlement Rules.
(d)
Notwithstanding anything to the contrary in the Relevant iTraxx Europe
Untranched Terms Supplement, the Reference Obligation for purposes of a New
Trade (as defined therein) will be the Reference Obligation for the Restructured
Entity in question as specified by ICE Clear Credit following consultation with the
CDS Risk Committee (which for the avoidance of doubt may be determined by
reference to any Standard Reference Obligation).
(e)
The following terms will apply to each iTraxx Europe Untranched Contract:
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Source of Relevant Annex” is “Publisher” (if applicable under the
Relevant iTraxx Europe Untranched Terms Supplement).
(iii)
The “Effective Date” is the date specified in the List of Eligible iTraxx
Europe Indexes for the relevant Index.
(iv)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(v)
There are no “Excluded Reference Entities” (in the case of a Relevant
iTraxx Europe Untranched Terms Supplement prior to the 2014
Supplements).
(vi)
“De Minimis Cash Settlement” under the Relevant iTraxx Europe
Untranched Terms Supplement is not applicable.
(ix)
The “Fixed Rate” is the rate specified in the List of Eligible iTraxx Europe
Indexes for the relevant Index and Scheduled Termination Date.
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(x)
(f)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
iTraxx Europe Untranched Contract that is accepted for clearing pursuant
to Rule 309 after the Trade Date thereof, the “Initial Payment Date” will be
the date that is the first Business Day following the date as of which such
iTraxx Europe Untranched Contract is accepted for clearing pursuant to
Rule 309.
For each iTraxx Europe Untranched Contract, the following terms will be
determined according to the particular iTraxx Europe Untranched Contract
submitted for clearing:
(i)
Which of the Eligible iTraxx Europe Untranched Indexes is the “Index”.
(ii)
The “Annex Date”.
(iii)
The “Trade Date”.
(iv)
Which of the eligible Scheduled Termination Dates specified for the Index
in the List of Eligible iTraxx Europe Untranched Indexes is the “Scheduled
Termination Date”.
(v)
The “Original Notional Amount”.
(vi)
The “Floating Rate Payer”.
(vii)
The “Fixed Rate Payer”.
(viii)
The “Initial Payment Payer”.
(ix)
The “Initial Payment Amount”.
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26G. Standard European Corporate (“STEC”) Single Name.
The rules in this Subchapter 26G apply to the clearance of STEC Contracts.
26G-102.
Definitions.
Eligible STEC Reference Entities
Each particular Reference Entity included in the List of Eligible STEC Reference
Entities, as determined by ICE Clear Credit to be eligible. For the avoidance of
doubt, if there are multiple Reference Entity Database codes (as published by
Markit Group Limited or any successor thereto, such codes “RED Codes”) for a
particular Reference Entity listed in the List of Eligible STEC Reference Entities,
each such RED Code shall be treated as a separate Eligible STEC Reference
Entity.
Eligible STEC Reference Obligations
With respect to any STEC Contract Reference Obligation for any Eligible STEC
Reference Entity, the Reference Obligations determined by ICE Clear Credit to
be eligible and listed under the heading “Eligible Reference Obligations” for such
STEC Contract Reference Obligation and Eligible STEC Reference Entity in the
List of Eligible STEC Reference Entities. In the case of a 2014-Type CDS
Contract where “Standard Reference Obligation” is applicable to the STEC
Reference Entity and ICE Clear Credit has implemented the Standard Reference
Obligation, the Standard Reference Obligation shall be an Eligible STEC
Reference Obligation.
Eligible STEC Sector
With respect to any STEC Sector (as published by Markit Group Limited or any
successor thereto) for any Eligible STEC Reference Entity, the Eligible STEC
Sectors listed under the heading “Sector as reported in Rollout Schedule” for
such Eligible STEC Reference Entities in the List of Eligible STEC Reference
Entities shall be any of the following:
(a)
Basic Materials;
(b)
Consumer Goods;
(c)
Consumer Services;
(d)
Energy;
(e)
Financials;
(f)
Healthcare;
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(g)
Industrials;
(h)
Technology;
(i)
Telecommunications Services; and
(j)
Utilities.
List of Eligible STEC Reference Entities
The list of Eligible STEC Reference Entities, maintained, updated and published
by the Board or its designee on the ICE Clear Credit website, specifying the
following information (and the permissible combinations thereof, which may
distinguish, where applicable, between 2003-Type CDS Contracts and 2014Type CDS Contracts) with respect to each Eligible STEC Reference Entity:
(a)
the name of such Eligible STEC Reference Entity and the RED Code(s)
for such Eligible STEC Reference Entity;
(b)
each Relevant Physical Settlement Matrix and Transaction Type for such
Eligible STEC Reference Entity (which shall be Standard European
Corporate);
(c)
each STEC Contract Reference Obligation and each Eligible STEC
Reference Obligation for each such STEC Contract Reference Obligation;
(d)
each eligible “Scheduled Termination Date”;
(e)
the Eligible STEC Sector;
(f)
the eligible Applicable Credit Derivatives Definitions for such Contract;
(g)
in the case of a 2014-Type CDS Contract, the eligible Seniority Levels for
such Contract; and
(h)
in the case of a 2014-Type CDS Contract, whether “Standard Reference
Obligation” is applicable.
Permitted STEC Fixed Rates
The Fixed Rates permitted for a STEC Contract, as determined from time to time
by the Board or its designee and notified to CDS Participants.
Relevant Physical Settlement Matrix
With respect to a STEC Contract, the “Credit Derivatives Physical Settlement
Matrix” applicable to such STEC Contract, as specified in the combination of
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characteristics listed as eligible for the relevant Eligible STEC Reference Entity
in, and permitted by, the List of Eligible STEC Reference Entities.
STEC Contract
A credit default swap in respect of any Eligible STEC Reference Entity having a
combination of characteristics listed as eligible for such Eligible STEC Reference
Entity in, and permitted by, the List of Eligible STEC Reference Entities. A STEC
Contract is a CDS Contract for purposes of Chapter 20.
STEC Contract Reference Obligations
With respect to any Eligible STEC Reference Entity, the Reference Obligation(s)
listed under the heading “STEC Contract Reference Obligations” for such Eligible
STEC Reference Entity in the List of Eligible STEC Reference Entities (which, for
the avoidance of doubt, may indicate “No Reference Obligation”, indicating that
no obligation is specified as a Reference Obligation). In the case of a 2014-Type
CDS Contract where “Standard Reference Obligation” is applicable to the STEC
Reference Entity and ICE Clear Credit has implemented the Standard Reference
Obligation, the STEC Contract Reference Obligation shall thereafter be such
Standard Reference Obligation, subject to Section 2.9 of the 2014 Definitions.
STEC Rules
The rules set forth in Chapters 1 through 8, 20 through 22, inclusive, and the
CDS Restructuring Rules, as modified by the provisions of Subchapter 26E and
this Subchapter 26G.
26G-203.
(a)
Restriction on Activity.
In addition to the other rights granted to ICE Clear Credit in Rule 203, in the
event a CDS Participant (or a Non-Participant Party for whom such Participant is
acting) is subject to an event or agreement described in Rule 26G-206 or in the
event such CDS Participant submits a Trade of the type described in Rule 26G309(c) that is not a Conforming Trade and such Trade is cleared pursuant to
these Rules (in each case, an “SR CDS Participant”), ICE Clear Credit may
conduct an auction process to replace all of the SR CDS Participant’s Open CDS
Positions in the affected CDS Contracts (including, if applicable, those on behalf
of any such Non-Participant Party) (each auction in such process, an “SR
Auction”). ICE Clear Credit shall have the authority to determine the timing and
other particular characteristics of each SR Auction in consultation with the CDS
Default Committee and as provided in the ICE Clear Credit Procedures, including
determining the size of the bid/offer spread and/or of the CDS Contracts to be
auctioned, whether one or more SR Auctions are to be held and the timing and
structure of such auctions and whether CDS Participants other than the SR CDS
Participant will be required to submit actionable quotations in an SR Auction.
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(b)
ICE Clear Credit shall enter into Trades in one or more CDS Contracts with the
CDS Participant(s) and in the amount determined pursuant to the SR Auction, at
which time the corresponding Open CDS Positions of the SR CDS Participant
shall be reduced or terminated, as applicable. The SR CDS Participant and the
other CDS Participants shall be obligated to submit to Deriv/SERV or another
service specified by ICE Clear Credit the terms of such reduction, termination or
Trade, as applicable. Amounts owed by the SR CDS Participant to (or receivable
by the SR CDS Participant from) ICE Clear Credit in connection with any such
reduction or termination shall be determined by ICE Clear Credit using the prices
determined pursuant to the SR Auctions. In addition, any Initial Payments,
Margin, or other payments or deliveries owed (including the dates of settlement
with respect thereto) relating to the Open CDS Positions increased, created,
reduced or terminated pursuant to this Rule 26G-203(b) shall be as determined
by ICE Clear Credit with reference to the SR Auction in accordance with the ICE
Clear Credit Procedures and, notwithstanding Rules 301 or 303, Initial Payments
may be owed in respect to CDS Contracts entered into by ICE Clear Credit
pursuant to an SR Auction.
26G-206.
Notices Required of Participants with respect to STEC Contracts.
In addition to the notice requirements contained in Rule 206, a CDS Participant shall
provide notice to ICE Clear Credit in the event that such CDS Participant (or a NonParticipant Party for whom such CDS Participant is acting) or an Eligible STEC
Reference Entity consolidates or amalgamates with, or merges into, or transfers all or
substantially all of its assets to, the Eligible STEC Reference Entity or such CDS
Participant (or Non-Participant Party for whom such CDS Participant is acting), as
applicable, or such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) and an Eligible STEC Reference Entity are the same entity or are
or become Affiliates, or, subject to any restrictions on such disclosure imposed by law or
regulation, such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) is subject to an agreement pursuant to which any of the foregoing
is reasonably likely to occur.
26G-303.
STEC Contract Adjustments.
In addition to the adjustments described in Rule 303, upon clearance of a Trade
otherwise equivalent to a STEC Contract but that:
(a)
specifies an Eligible STEC Reference Obligation as the “Reference Obligation”,
such Trade shall become an Open CDS Position in the STEC Contract with the
STEC Contract Reference Obligation specified for such Eligible STEC Reference
Obligation in the List of Eligible STEC Reference Entities;
(b)
an Event Determination Date has occurred with respect to a Restructuring, such
Trade shall become an Open CDS Position in the STEC Contract for which no
such Event Determination Date has occurred; and/or
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(c)
specifies a Transaction Type other than Standard European Corporate, such
Trade shall become an Open CDS Position in the STEC Contract otherwise
equivalent to such Trade but specifying Standard European Corporate as the
Transaction Type.
26G-309.
Acceptance of STEC Contracts by ICE Clear Credit.
(a)
In addition to the acceptance process described in Rule 309, ICE Clear Credit’s
notice to the relevant CDS Participants that it has accepted a Trade submitted for
clearance shall include any adjustment that will be made by ICE Clear Credit
pursuant to Rule 26G-303. Such CDS Participants’ resubmission of the terms of
such Trade, as provided in Rule 309, shall include the adjustments described by
ICE Clear Credit in such notice.
(b)
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a STEC Contract, and any such Trade shall not be a Conforming
Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to such
STEC Contract;
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for such STEC Contract; or
(iii)
on or after the calendar day following the day on which the Final List (as
defined in the DC Rules) is published for a Restructuring CDS Contract
and at or before the close of business on the calendar day following the
CDS Regional Business Day following the latest possible Exercise Cut-off
Date for the related Relevant Restructuring Credit Event under such
Restructuring CDS Contract;
(such time with respect to any STEC Contract, the “Clearance Cut-off Time”);
provided that ICE Clear Credit may, by written notice to all CDS Participants
following consultation with the Risk Committee, designate a time other than the
time determined pursuant to clauses (i) through (iii) above as the Clearance Cutoff Time with respect to any STEC Contract.
(c)
A CDS Participant may not submit a Trade for clearance as a STEC Contract,
and any such Trade shall not be a Conforming Trade, if the time of submission of
the Trade or the Novation Time would be at a time when the CDS Participant (or
any Non-Participant Party for whom such Participant is acting) is, or is an Affiliate
of, the Eligible STEC Reference Entity for such STEC Contract or is subject to an
agreement under which it is reasonably likely that the CDS Participant (or any
such Non-Participant Party) will become, or will become an Affiliate of, the
Eligible STEC Reference Entity for such STEC Contract.
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(d)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
(e)
If ICE Clear Credit determines that any Trade submitted for clearance would
have been subject to a Succession Event (in the case of a 2003-Type CDS
Contract) or circumstances giving rise to a Successor and a Succession Date (in
the case of a 2014-Type CDS Contract) but will no longer be subject to such
Succession Event or such circumstances, as the case may be, upon clearance
because of the Trade Date that would be specified with respect to the related
Open CDS Position, ICE Clear Credit shall take such action as it deems
necessary to ensure that such Succession Event is given effect or such
circumstances are given effect, as the case may be, with respect to such Trade,
including, without limitation, declining to accept such Trade for clearance or
specifying an alternate Trade Date for purposes of Section 2.1 of the Applicable
Credit Derivatives Definitions with respect to the relevant portion of the related
Open CDS Position.
26G-315.
Terms of the Cleared STEC Contract.
(a)
Any capitalized term used in this Subchapter 26G but not defined in these STEC
Rules shall have the meaning provided in the Credit Derivatives Definitions.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each STEC
Contract is the European Region.
(c)
The definitions and provisions contained in the Applicable Credit Derivatives
Definitions (for the purposes of the STEC Rules only, the “Credit Derivatives
Definitions”), are incorporated into the STEC Rules. In the event of any
inconsistency between the Credit Derivatives Definitions or the Confirmation
(including in electronic form) for a STEC Contract and these STEC Rules, these
STEC Rules will govern.
(d)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2003 Definitions:
(i)
If a Convened DC (as defined in the DC Rules) resolves, pursuant to the
DC Rules, (i) a question of interpretation regarding the provisions of the
July 2009 Protocol (as defined in the DC Rules) or (ii) to make any
amendments to Schedule 1 of the July 2009 Protocol, in each case that
affect a STEC Contract, ICE Clear Credit shall, as promptly as practicable,
make conforming changes to these Rules in order to implement such
resolutions. Notwithstanding anything to the contrary in Rule 616, any
change made to the Rules in accordance with this paragraph (d) shall not
constitute a Contract Modification.
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(ii)
Section 3.2(c)(i) of the Credit Derivatives Definitions is hereby amended
by replacing the “or” at the end of subparagraph (B) thereof with an “and”
and adding the following as a new subparagraph (C):
“(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such STEC
Contracts; or”.
(iii)
Except for purposes of Section 1.23 of the Credit Derivatives Definitions, a
Credit Event Notice and Notice of Publicly Available Information with
respect to a STEC Contract will be deemed to have been effectively
delivered by the Notifying Party for a Credit Event other than Restructuring
on the relevant Event Determination Date determined under the CDS
Committee Rules only when the Resolution is effective, under the CDS
Committee Rules, that a Credit Event other than Restructuring has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such STEC Contract.
Notwithstanding anything to the contrary in the Credit Derivatives
Definitions, any delivery of a Credit Event Notice and/or Notice of Publicly
Available Information by a CDS Participant (other than (A) the deemed
delivery as provided in this Rule 26G-315(d)(iii) or (B) notices with respect
to a Relevant Restructuring Credit Event as provided in the CDS
Restructuring Rules) shall not be valid.
(iv)
(A)
Section 1.8(a)(ii)(A)(I)(3)(y) of the Credit Derivatives Definitions is
hereby modified by replacing the term “Auction Final Price Determination
Date” with the phrase “date that is one Relevant City Business Day prior to
the Auction Settlement Date”.
(B)
Section 1.30 of the Credit Derivatives Definitions is hereby modified
by replacing the term “Auction Final Price Determination Date” in clause
(ii) of the last sentence thereof with the phrase “date that is one Relevant
City Business Day prior to the Auction Settlement Date”.
(v)
With respect to STEC Contracts for which it is Resolved by the Regional
CDS Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which
there is Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver
a Notice of Physical Settlement until after it is determined that the method
of settlement for a particular Credit Event is the Fallback Settlement
Method due to the occurrence of one of the events in Section 12.1 of the
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Credit Derivatives Definitions and as further provided in the CDS Physical
Settlement Rules. For the avoidance of doubt, the effectiveness of any
Notice of Physical Settlement and obligations relating thereto are subject
to the suspension and finality provisions of Sections 6.5 and 9.1(c)(iii) of
the Credit Derivatives Definitions.
(vi)
Notwithstanding Section 2.9 of the Credit Derivatives Definitions, the initial
Fixed Rate Payer Calculation Period shall commence on, and include, the
Fixed Rate Payer Payment Date falling on or immediately prior to the
calendar day immediately following the Trade Date.
For purposes of this provision, Section 2.10 of the 2003 Definitions shall
be deemed amended by deleting the words “during the term of the
transaction”.
(e)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2014 Definitions:
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such STEC
Contracts.”.
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a STEC
Contract for a Credit Event other than M(M)R Restructuring will be
deemed to have been effectively delivered by the Notifying Party on the
relevant Event Determination Date determined under the CDS Committee
Rules only when the Resolution is effective, under the CDS Committee
Rules, that a Credit Event other than M(M)R Restructuring has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii), with respect to such STEC Contract.
Notwithstanding anything to the contrary in the 2014 Definitions, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26G-315(e)(ii) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
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(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to STEC Contracts for which it is Resolved by the Regional
CDS Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which
there is Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver
a Notice of Physical Settlement until after it is determined that the method
of settlement for a particular Credit Event is the Fallback Settlement
Method due to the occurrence of one of the events in Section 6.1 of the
2014 Definitions, and as further provided in the CDS Physical Settlement
Rules. For the avoidance of doubt, the effectiveness of any Notice of
Physical Settlement and obligations relating thereto are subject to the
suspension and finality provisions of Sections 10.1 and 10.2 of the 2014
Definitions.
(v)
Section 11.4 of the 2014 Definitions shall not apply.
(f)
The Settlement Method for particular STEC Contracts will be Auction Settlement
and the Fallback Settlement Method will be Physical Settlement in accordance
with the CDS Physical Settlement Rules.
(g)
The following terms will apply to each STEC Contract:
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iii)
The “Transaction Type” is Standard European Corporate.
(iv)
The “Fixed Rate Payer Payment Dates” will be March 20, June 20,
September 20 and December 20.
(v)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
STEC Contract that is accepted for clearing pursuant to Rule 309 after the
Trade Date thereof, the “Initial Payment Date” will be the date that is the
first Business Day following the date as of which such STEC Contract is
accepted for clearing pursuant to Rule 309.
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(h)
For each STEC Contract, the following terms will be determined according to the
particular STEC Contract submitted for clearing, subject to Rule 26G-303:
(i)
Which of the Eligible STEC Reference Entities is the “Reference Entity”.
(ii)
Which of the STEC Contract Reference Obligations specified for the
Reference Entity in the List of Eligible STEC Reference Entities is the
“Reference Obligation”.
(iii)
The “Trade Date”.
(iv)
The “Effective Date”.
(v)
Which of the eligible Scheduled Termination Dates specified for the
“Reference Entity” in the List of Eligible STEC Reference Entities is the
“Scheduled Termination Date”.
(vi)
The “Floating Rate Payer Calculation Amount”.
(vii)
The “Floating Rate Payer”.
(viii)
The “Fixed Rate Payer”.
(ix)
The “Fixed Rate”.
(x)
If applicable, the Matrix Publication Date for the Relevant Physical
Settlement Matrix.
(xii)
The “Initial Payment Payer”.
(xiii)
The “Initial Payment Amount”.
(xiv)
Which of the eligible Applicable Credit Derivatives Definitions applies.
(xv)
In the case of a 2014-Type CDS Contract, which of the eligible Seniority
Levels applies.
26G-316.
(a)
Relevant Physical Settlement Matrix Updates.
Where ISDA publishes a version of the Credit Derivatives Physical Settlement
Matrix (a “New Matrix”) that is subsequent to the version that is specified as the
Relevant Physical Settlement Matrix for any STEC Contract(s) (the “Existing
Matrix”), and the Board or its designee determines that updating such STEC
Contract(s) to reference the New Matrix would not constitute a Contract
Modification as provided in Rule 616 (the date of such determination, the “Matrix
Update Date” and each prior Credit Derivatives Physical Settlement Matrix
subject to such determination, a “Superseded Matrix”) and so notifies CDS
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Participants, such STEC Contracts shall, as of the close of business on the
Matrix Update Date, become STEC Contracts referencing the New Matrix as the
Relevant Physical Settlement Matrix and the List of Eligible STEC Reference
Entities shall be updated accordingly. Any Trade referencing a Superseded
Matrix submitted for clearing as a STEC Contract shall, upon acceptance for
clearing, become a STEC Contract referencing the New Matrix.
(b)
The Board or its designee may determine a different Matrix Update Date
applicable to individual STEC Contracts or groups of STEC Contracts or may
determine a Matrix Update Date applicable to all STEC Contracts referencing a
Superseded Matrix, as it deems appropriate.
26G-502.
Specified Actions.
Notwithstanding anything to the contrary in Rule 502(a) but without limiting the
application of Rule 616 to any Modification (including the requirement of consultation
with the Risk Committee, as provided in Rule 502(a), prior to determining that a
Modification is not a Contract Modification), none of the following shall constitute a
Specified Action: (a) adding and/or Modifying Permitted STEC Fixed Rates, (b) adding
new Eligible STEC Reference Entities, and adding and/or Modifying any other entries in
any of the fields in the List of Eligible STEC Reference Entities or (c) an update to the
List of Eligible STEC Reference Entities, as described in Rules 26G-316 and 26G-616.
26G-616.
Contract Modification.
(a)
It shall not constitute a Contract Modification if the Board or its designee updates
the List of Eligible STEC Reference Entities (and modifies the terms and
conditions of related STEC Contracts) to give effect to determinations by the
Regional CDS Committee (or applicable Dispute Resolver) or a Credit
Derivatives
Determinations
Committee,
including,
without
limitation,
determinations of Succession Events or circumstances giving rise to Successors
and Succession Dates or Substitute Reference Obligations or implementation of
Standard Reference Obligations (or changes thereto). In addition, the
determination that “Standard Reference Obligation” will be applicable to an
Eligible STEC Reference Entity shall not constitute a Contract Modification.
(b)
Notwithstanding anything to the contrary herein (including Rule 616(b)), with
respect to Open Positions in STEC Contracts that are Converting Contracts,
effective as of the 2003/2014 Changeover Effective Date and without need for
further action or determination by the Board, the terms of each such Contract will
be deemed amended such that it is a 2014-Type CDS Contract under these
Rules, the Applicable Credit Derivatives Definitions are the 2014 Definitions and
it references the New Matrix with a Matrix Update Date of the 2003/2014
Changeover Effective Date. The amendments made by this rule 26G-616 shall
apply as of the 2003/2014 Changeover Effective Date regardless of whether any
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relevant transaction record in Deriv/SERV is updated to reflect such
amendments.
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26H. Standard European Financial Corporate (“STEFC”) Single Name.
The rules in this Subchapter 26H apply to the clearance of STEFC Contracts.
26H-102.
Definitions.
Eligible STEFC Reference Entities
Each particular Reference Entity included in the List of Eligible STEFC Reference
Entities, as determined by ICE Clear Credit to be eligible. For the avoidance of
doubt, if there are multiple Reference Entity Database codes (as published by
Markit Group Limited or any successor thereto, such codes “RED Codes”) for a
particular Reference Entity listed in the List of Eligible STEFC Reference Entities,
each such RED Code shall be treated as a separate Eligible STEFC Reference
Entity.
Eligible STEFC Reference Obligations
With respect to any STEFC Contract Reference Obligation for any Eligible
STEFC Reference Entity, the Reference Obligations determined by ICE Clear
Credit to be eligible and listed under the heading “Eligible Reference Obligations”
for such STEFC Contract Reference Obligation and Eligible STEFC Reference
Entity in the List of Eligible STEFC Reference Entities. In the case of a 2014Type CDS Contract where “Standard Reference Obligation” is applicable to the
STEFC Reference Entity and ICE Clear Credit has implemented the Standard
Reference Obligation, the Standard Reference Obligation shall be an Eligible
STEFC Reference Obligation.
List of Eligible STEFC Reference Entities
The list of Eligible STEFC Reference Entities, maintained, updated and published
by the Board or its designee on the ICE Clear Credit website, specifying the
following information (and the permissible combinations thereof, which may
distinguish, where applicable, between 2003-Type CDS Contracts and 2014Type CDS Contracts) with respect to each Eligible STEFC Reference Entity:
(a)
the name of such Eligible STEFC Reference Entity and the RED Code(s)
for such Eligible STEFC Reference Entity;
(b)
each Relevant Physical Settlement Matrix and Transaction Type for such
Eligible STEFC Reference Entity (which shall be Standard European
Financial Corporate);
(c)
each STEFC Contract Reference Obligation and each Eligible STEFC
Reference Obligation for each such STEFC Contract Reference
Obligation;
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(d)
each eligible “Scheduled Termination Date”;
(e)
the Sector “Financials” (as published by Markit Group Limited or any
successor thereto);
(f)
the Applicable Credit Derivatives Definitions for such Contract, which shall
be the 2014 Definitions;
(g)
the eligible Seniority Levels for such Contract; and
(h)
whether “Standard Reference Obligation” is applicable.
Permitted STEFC Fixed Rates
The Fixed Rates permitted for a STEFC Contract, as determined from time to
time by the Board or its designee and notified to CDS Participants.
Relevant Physical Settlement Matrix
With respect to a STEFC Contract, the “Credit Derivatives Physical Settlement
Matrix” applicable to such STEFC Contract, as specified in the combination of
characteristics listed as eligible for the relevant Eligible STEFC Reference Entity
in, and permitted by, the List of Eligible STEFC Reference Entities.
STEFC Contract
A credit default swap in respect of any Eligible STEFC Reference Entity having a
combination of characteristics listed as eligible for such Eligible STEFC
Reference Entity in, and permitted by, the List of Eligible STEFC Reference
Entities. A STEFC Contract is a CDS Contract for purposes of Chapter 20.
STEFC Contract Reference Obligations
With respect to any Eligible STEFC Reference Entity, the Reference
Obligation(s) listed under the heading “STEFC Contract Reference Obligations”
for such Eligible STEFC Reference Entity in the List of Eligible STEFC Reference
Entities (which, for the avoidance of doubt, may indicate “No Reference
Obligation”, indicating that no obligation is specified as a Reference Obligation).
In the case of a 2014-Type CDS Contract where “Standard Reference
Obligation” is applicable to the STEFC Reference Entity and ICE Clear Credit
has implemented the Standard Reference Obligation, the STEFC Contract
Reference Obligation shall thereafter be such Standard Reference Obligation,
subject to Section 2.9 of the 2014 Definitions.
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STEFC Rules
The rules set forth in Chapters 1 through 8, 20 through 22, inclusive, and the
CDS Restructuring Rules, as modified by the provisions of Subchapter 26E and
this Subchapter 26H.
26H-203.
Restriction on Activity.
(a)
In addition to the other rights granted to ICE Clear Credit in Rule 203, in the
event a CDS Participant (or a Non-Participant Party for whom such Participant is
acting) is subject to an event or agreement described in Rule 26H-206 or in the
event such CDS Participant submits a Trade of the type described in Rule 26H309(c) that is not a Conforming Trade and such Trade is cleared pursuant to
these Rules (in each case, an “SR CDS Participant”), ICE Clear Credit may
conduct an auction process to replace all of the SR CDS Participant’s Open CDS
Positions in the affected CDS Contracts (including, if applicable, those on behalf
of any such Non-Participant Party) (each auction in such process, an “SR
Auction”). ICE Clear Credit shall have the authority to determine the timing and
other particular characteristics of each SR Auction in consultation with the CDS
Default Committee and as provided in the ICE Clear Credit Procedures, including
determining the size of the bid/offer spread and/or of the CDS Contracts to be
auctioned, whether one or more SR Auctions are to be held and the timing and
structure of such auctions and whether CDS Participants other than the SR CDS
Participant will be required to submit actionable quotations in an SR Auction.
(b)
ICE Clear Credit shall enter into Trades in one or more CDS Contracts with the
CDS Participant(s) and in the amount determined pursuant to the SR Auction, at
which time the corresponding Open CDS Positions of the SR CDS Participant
shall be reduced or terminated, as applicable. The SR CDS Participant and the
other CDS Participants shall be obligated to submit to Deriv/SERV or another
service specified by ICE Clear Credit the terms of such reduction, termination or
Trade, as applicable. Amounts owed by the SR CDS Participant to (or receivable
by the SR CDS Participant from) ICE Clear Credit in connection with any such
reduction or termination shall be determined by ICE Clear Credit using the prices
determined pursuant to the SR Auctions. In addition, any Initial Payments,
Margin, or other payments or deliveries owed (including the dates of settlement
with respect thereto) relating to the Open CDS Positions increased, created,
reduced or terminated pursuant to this Rule 26H-203(b) shall be as determined
by ICE Clear Credit with reference to the SR Auction in accordance with the ICE
Clear Credit Procedures and, notwithstanding Rules 301 or 303, Initial Payments
may be owed in respect to CDS Contracts entered into by ICE Clear Credit
pursuant to an SR Auction.
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26H-206.
Notices Required of Participants with respect to STEFC Contracts.
In addition to the notice requirements contained in Rule 206, a CDS Participant shall
provide notice to ICE Clear Credit in the event that such CDS Participant (or a NonParticipant Party for whom such CDS Participant is acting) or an Eligible STEFC
Reference Entity consolidates or amalgamates with, or merges into, or transfers all or
substantially all of its assets to, the Eligible STEFC Reference Entity or such CDS
Participant (or Non-Participant Party for whom such CDS Participant is acting), as
applicable, or such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) and an Eligible STEFC Reference Entity are the same entity or are
or become Affiliates, or, subject to any restrictions on such disclosure imposed by law or
regulation, such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) is subject to an agreement pursuant to which any of the foregoing
is reasonably likely to occur.
26H-303.
STEFC Contract Adjustments.
In addition to the adjustments described in Rule 303, upon clearance of a Trade
otherwise equivalent to a STEFC Contract but that:
(a)
specifies an Eligible STEFC Reference Obligation as the “Reference Obligation”,
such Trade shall become an Open CDS Position in the STEFC Contract with the
STEFC Contract Reference Obligation specified for such Eligible STEFC
Reference Obligation in the List of Eligible STEFC Reference Entities;
(b)
an Event Determination Date has occurred with respect to a Restructuring, such
Trade shall become an Open CDS Position in the STEFC Contract for which no
such Event Determination Date has occurred; and/or
(c)
specifies a Transaction Type other than Standard European Financial Corporate,
such Trade shall become an Open CDS Position in the STEFC Contract
otherwise equivalent to such Trade but specifying Standard European Financial
Corporate as the Transaction Type.
26H-309.
Acceptance of STEFC Contracts by ICE Clear Credit.
(a)
In addition to the acceptance process described in Rule 309, ICE Clear Credit’s
notice to the relevant CDS Participants that it has accepted a Trade submitted for
clearance shall include any adjustment that will be made by ICE Clear Credit
pursuant to Rule 26H-303. Such CDS Participants’ resubmission of the terms of
such Trade, as provided in Rule 309, shall include the adjustments described by
ICE Clear Credit in such notice.
(b)
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a STEFC Contract, and any such Trade shall not be a Conforming
Trade, if the Novation Time would be:
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(i)
at a time when the Fallback Settlement Method is applicable to such
STEFC Contract;
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for such STEFC Contract; or
(iii)
on or after the calendar day following the day on which the Final List (as
defined in the DC Rules) is published for a Restructuring CDS Contract
and at or before the close of business on the calendar day following the
CDS Regional Business Day following the latest possible Exercise Cut-off
Date for the related Relevant Restructuring Credit Event under such
Restructuring CDS Contract;
(such time with respect to any STEFC Contract, the “Clearance Cut-off Time”);
provided that ICE Clear Credit may, by written notice to all CDS Participants
following consultation with the Risk Committee, designate a time other than the
time determined pursuant to clauses (i) through (iii) above as the Clearance Cutoff Time with respect to any STEFC Contract.
(c)
A CDS Participant may not submit a Trade for clearance as a STEFC Contract,
and any such Trade shall not be a Conforming Trade, if the time of submission of
the Trade or the Novation Time would be at a time when the CDS Participant (or
any Non-Participant Party for whom such Participant is acting) is, or is an Affiliate
of, the Eligible STEFC Reference Entity for such STEFC Contract or is subject to
an agreement under which it is reasonably likely that the CDS Participant (or any
such Non-Participant Party) will become, or will become an Affiliate of, the
Eligible STEFC Reference Entity for such STEFC Contract.
(d)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
(e)
If ICE Clear Credit determines that any Trade submitted for clearance would
have been subject to circumstances giving rise to a Successor and a Succession
Date but will no longer be subject to such circumstances upon clearance
because of the Trade Date that would be specified with respect to the related
Open CDS Position, ICE Clear Credit shall take such action as it deems
necessary to ensure that such circumstances are given effect with respect to
such Trade, including, without limitation, declining to accept such Trade for
clearance or specifying an alternate Trade Date for purposes of Section 2.1 of
the Applicable Credit Derivatives Definitions with respect to the relevant portion
of the related Open CDS Position.
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26H-315.
Terms of the Cleared STEFC Contract.
(a)
Any capitalized term used in this Subchapter 26H but not defined in these
STEFC Rules shall have the meaning provided in the Credit Derivatives
Definitions.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each STEFC
Contract is the European Region.
(c)
The definitions and provisions contained in the Applicable Credit Derivatives
Definitions (for the purposes of the STEFC Rules only, the “Credit Derivatives
Definitions”), are incorporated into the STEFC Rules. In the event of any
inconsistency between the Credit Derivatives Definitions or the Confirmation
(including in electronic form) for a STEFC Contract and these STEFC Rules,
these STEFC Rules will govern.
(d)
The following provisions shall apply:
(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such STEFC
Contracts.”.
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a
STEFC Contract for a Credit Event other than M(M)R Restructuring will be
deemed to have been effectively delivered by the Notifying Party on the
relevant Event Determination Date determined under the CDS Committee
Rules only when the Resolution is effective, under the CDS Committee
Rules, that a Credit Event other than M(M)R Restructuring has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii), with respect to such STEFC Contract.
Notwithstanding anything to the contrary in the 2014 Definitions, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26H-315(e)(ii) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
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(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to STEFC Contracts for which it is Resolved by the Regional
CDS Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which
there is Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver
a Notice of Physical Settlement until after it is determined that the method
of settlement for a particular Credit Event is the Fallback Settlement
Method due to the occurrence of one of the events in Section 6.1 of the
2014 Definitions, and as further provided in the CDS Physical Settlement
Rules. For the avoidance of doubt, the effectiveness of any Notice of
Physical Settlement and obligations relating thereto are subject to the
suspension and finality provisions of Sections 10.1 and 10.2 of the 2014
Definitions.
(v)
Section 11.4 of the 2014 Definitions shall not apply.
(e)
The Settlement Method for particular STEFC Contracts will be Auction
Settlement and the Fallback Settlement Method will be Physical Settlement in
accordance with the CDS Physical Settlement Rules.
(f)
The following terms will apply to each STEFC Contract:
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iii)
The “Transaction Type” is Standard European Financial Corporate.
(iv)
The “Fixed Rate Payer Payment Dates” will be March 20, June 20,
September 20 and December 20.
(v)
The Financial Reference Entity Terms will apply.
(vi)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
STEFC Contract that is accepted for clearing pursuant to Rule 309 after
the Trade Date thereof, the “Initial Payment Date” will be the date that is
the first Business Day following the date as of which such STEFC
Contract is accepted for clearing pursuant to Rule 309.
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(g)
For each STEFC Contract, the following terms will be determined according to
the particular STEFC Contract submitted for clearing, subject to Rule 26H-303:
(i)
Which of the Eligible STEFC Reference Entities is the “Reference Entity”.
(ii)
Which of the STEFC Contract Reference Obligations specified for the
Reference Entity in the List of Eligible STEFC Reference Entities is the
“Reference Obligation”.
(iii)
The “Trade Date”.
(iv)
The “Effective Date”.
(v)
Which of the eligible Scheduled Termination Dates specified for the
“Reference Entity” in the List of Eligible STEFC Reference Entities is the
“Scheduled Termination Date”.
(vi)
The “Floating Rate Payer Calculation Amount”.
(vii)
The “Floating Rate Payer”.
(viii)
The “Fixed Rate Payer”.
(ix)
The “Fixed Rate”.
(x)
If applicable, the Matrix Publication Date for the Relevant Physical
Settlement Matrix.
(xii)
The “Initial Payment Payer”.
(xiii)
The “Initial Payment Amount”.
(xiv)
Which of the eligible Seniority Levels applies.
26H-316.
(a)
Relevant Physical Settlement Matrix Updates.
Where ISDA publishes a version of the Credit Derivatives Physical Settlement
Matrix (a “New Matrix”) that is subsequent to the version that is specified as the
Relevant Physical Settlement Matrix for any STEFC Contract(s) (the “Existing
Matrix”), and the Board or its designee determines that updating such STEFC
Contract(s) to reference the New Matrix would not constitute a Contract
Modification as provided in Rule 616 (the date of such determination, the “Matrix
Update Date” and each prior Credit Derivatives Physical Settlement Matrix
subject to such determination, a “Superseded Matrix”) and so notifies CDS
Participants, such STEFC Contracts shall, as of the close of business on the
Matrix Update Date, become STEFC Contracts referencing the New Matrix as
the Relevant Physical Settlement Matrix and the List of Eligible STEFC
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Reference Entities shall be updated accordingly. Any Trade referencing a
Superseded Matrix submitted for clearing as a STEFC Contract shall, upon
acceptance for clearing, become a STEFC Contract referencing the New Matrix.
(b)
The Board or its designee may determine a different Matrix Update Date
applicable to individual STEFC Contracts or groups of STEFC Contracts or may
determine a Matrix Update Date applicable to all STEFC Contracts referencing a
Superseded Matrix, as it deems appropriate.
26H-502.
Specified Actions.
Notwithstanding anything to the contrary in Rule 502(a) but without limiting the
application of Rule 616 to any Modification (including the requirement of consultation
with the Risk Committee, as provided in Rule 502(a), prior to determining that a
Modification is not a Contract Modification), none of the following shall constitute a
Specified Action: (a) adding and/or Modifying Permitted STEFC Fixed Rates, (b) adding
new Eligible STEFC Reference Entities, and adding and/or Modifying any other entries
in any of the fields in the List of Eligible STEFC Reference Entities or (c) an update to
the List of Eligible STEFC Reference Entities, as described in Rules 26H-316 and 26H616.
26H-616.
Contract Modification.
It shall not constitute a Contract Modification if the Board or its designee updates the
List of Eligible STEFC Reference Entities (and modifies the terms and conditions of
related STEFC Contracts) to give effect to determinations by the Regional CDS
Committee (or applicable Dispute Resolver) or a Credit Derivatives Determinations
Committee, including, without limitation, determinations of Succession Events or
circumstances giving rise to Successors and Succession Dates or Substitute Reference
Obligations or implementation of Standard Reference Obligations (or changes thereto).
In addition, the determination that “Standard Reference Obligation” will be applicable to
an Eligible STEFC Reference Entity shall not constitute a Contract Modification.
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26I.
Standard Western European Sovereign (“SWES”) Single Name.
The rules in this Subchapter 26I apply to the clearance of SWES Contracts.
26I-102.
Definitions.
Eligible SWES Reference Entities
Each particular Reference Entity included in the List of Eligible SWES Reference
Entities as determined by ICE Clear Credit to be eligible (specifically the
Republic of Ireland, the Italian Republic, the Portuguese Republic, the Kingdom
of Spain, the Kingdom of Belgium, the Republic of Austria, the Kingdom of the
Netherlands, the Federal Republic of Germany, the French Republic, and the
United Kingdom of Great Britain and Northern Ireland). For the avoidance of
doubt, if there are multiple Reference Entity Database codes (as published by
Markit Group Limited or any successor thereto, such codes “RED Codes”) for a
particular Reference Entity listed in the List of Eligible SWES Reference Entities,
each such RED Code shall be treated as a separate Eligible SWES Reference
Entity.
Eligible SWES Reference Obligations
With respect to any SWES Contract Reference Obligation for any Eligible SWES
Reference Entity, the Reference Obligations determined by ICE Clear Credit
to be eligible and listed under the heading “Eligible Reference Obligations” for
such SWES Contract Reference Obligation and Eligible SWES Reference Entity
in the List of Eligible SWES Reference Entities. Where “Standard Reference
Obligation is applicable to the SWES Reference Entity and ICE Clear Credit has
implemented the Standard Reference Obligation, the Standard Reference
Obligation shall be an Eligible SWES Reference Obligation.
List of Eligible SWES Reference Entities
The list of Eligible SWES Reference Entities, maintained, updated and
published by the Board or its designee on the ICE Clear Credit website,
specifying the following information (and the permissible combinations thereof)
with respect to each Eligible SWES Reference Entity:
(a)
the name of such Eligible SWES Reference Entity and the RED Code(s)
for such Eligible SWES Reference Entity;
(b)
each Relevant Physical Settlement Matrix and Transaction Type for such
Eligible SWES Reference Entity, which shall be “Standard Western
European Sovereign”;
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(c)
each SWES Contract Reference Obligation and each Eligible SWES
Reference Obligation for each such SWES Contract Reference Obligation;
(d)
each eligible “Scheduled Termination Date”; and
(e)
the Sector “Government” (as published by Markit Group Limited or any
successor thereto);
(f)
the currency in which the Floating Rate Payer Calculation Amount must be
denominated and the currency to be used for the calculation of Margin;
(g)
the Applicable Credit Derivatives Definitions, which shall be the 2014
Definitions;
(h)
the eligible Seniority Levels; and
(i)
whether “Standard Reference Obligation” is applicable.
Permitted SWES Fixed Rates
The Fixed Rates permitted for a SWES Contract, as determined from time to
time by the Board or its designee and notified to CDS Participants.
Relevant Physical Settlement Matrix
With respect to a SWES Contract, the “Credit Derivatives Physical Settlement
Matrix” applicable to such SWES Contract, as specified in the combination of
characteristics listed as eligible for the relevant Eligible SWES Reference Entity
in, and permitted by, the List of Eligible SWES Reference Entities.
SWES Contract
A credit default swap in respect of any Eligible SWES Reference Entity having a
combination of characteristics listed as eligible for such Eligible SWES
Reference Entity in, and permitted by, the List of Eligible SWES Reference
Entities. A SWES Contract is a CDS Contract for purposes of Chapter 20.
SWES Contract Reference Obligations
With respect to any Eligible SWES Reference Entity, the Reference Obligation(s)
listed under the heading “SWES Contract Reference Obligations” for such
Eligible SWES Reference Entity in the List of Eligible SWES Reference Entities
(which, for the avoidance of doubt, may indicate “No Reference Obligation”,
indicating that no obligation is specified as a Reference Obligation). Where
“Standard Reference Obligation” is applicable to the Eligible SWES Reference
Entity and ICE Clear Credit has implemented the Standard Reference
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Obligation, the SWES Contract Reference Obligation shall thereafter be such
Standard Reference Obligation, subject to Section 2.9 of the 2014 Definitions.
SWES Rules
The rules set forth in Chapters 1 through 8, 20 through 22, inclusive, and
the CDS Restructuring Rules, as modified by the provisions of this Subchapter
26I.
26I-203.
Restriction on Activity.
(a)
In addition to the other rights granted to ICE Clear Credit in Rule 203, in
the event a CDS Participant (or a Non-Participant Party for whom such
Participant is acting) is subject to an event or agreement described in
Rule 26I-206 or in the event such CDS Participant submits a Trade of the type
described in Rule 26I-309(c) that is not a Conforming Trade and such Trade is
cleared pursuant to these Rules (in each case, an “SR CDS Participant”), ICE
Clear Credit may conduct an auction process to replace all of the SR CDS
Participant’s Open CDS Positions in the affected CDS Contracts (including, if
applicable, those on behalf of any such Non-Participant Party) (each auction in
such process, an “SR Auction”). ICE Clear Credit shall have the authority to
determine the timing and other particular characteristics of each SR Auction
in consultation with the CDS Default Committee and as provided in the ICE
Clear Credit Procedures, including determining the size of the bid/offer spread
and/or of the CDS Contracts to be auctioned, whether one or more SR Auctions
are to be held and the timing and structure of such auctions and whether CDS
Participants other than the SR CDS Participant will be required to submit
actionable quotations in an SR Auction.
(b)
ICE Clear Credit shall enter into Trades in one or more CDS Contracts with
the CDS Participant(s) and in the amount determined pursuant to the SR
Auction, at which time the corresponding Open CDS Positions of the SR CDS
Participant shall be reduced or terminated, as applicable. The SR CDS
Participant and the other CDS Participants shall be obligated to submit to
Deriv/SERV or another service specified by ICE Clear Credit the terms of such
reduction, termination or Trade, as applicable. Amounts owed by the SR CDS
Participant to (or receivable by the SR CDS Participant from) ICE Clear Credit in
connection with any such reduction or termination shall be determined by ICE
Clear Credit using the prices determined pursuant to the SR Auctions. In
addition, any Initial Payments, Margin, or other payments or deliveries owed
(including the dates of settlement with respect thereto) relating to the Open CDS
Positions increased, created, reduced or terminated pursuant to this Rule 26I203(b) shall be as determined by ICE Clear Credit with reference to the SR
Auction in accordance with the ICE Clear Credit Procedures and,
notwithstanding Rules 301 or 303, Initial Payments may be owed in respect to
CDS Contracts entered into by ICE Clear Credit pursuant to an SR Auction.
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26I-206.
Notices Required of Participants with respect to SWES Contracts.
In addition to the notice requirements contained in Rule 206, a CDS Participant shall
provide notice to ICE Clear Credit in the event that such CDS Participant (or a NonParticipant Party for whom such CDS Participant is acting) or an Eligible SWES
Reference Entity consolidates or amalgamates with, or merges into, or transfers all or
substantially all of its assets to, the Eligible SWES Reference Entity or such CDS
Participant (or Non-Participant Party for whom such CDS Participant is acting), as
applicable, or such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) and an Eligible SWES Reference Entity are the same entity or
are or become Affiliates, or, subject to any restrictions on such disclosure imposed by
law or regulation, such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) is subject to an agreement pursuant to which any of the foregoing
is reasonably likely to occur.
26I-303.
SWES Contract Adjustments.
In addition to the adjustments described in Rule 303, upon clearance of a Trade
otherwise equivalent to a SWES Contract but that:
(a)
specifies an Eligible SWES Reference Obligation as the “Reference
Obligation”, such Trade shall become an Open CDS Position in the SWES
Contract with the SWES Contract Reference Obligation specified for such
Eligible SWES Reference Obligation in the List of Eligible SWES Reference
Entities;
(b)
an Event Determination Date has occurred with respect to a Restructuring,
such Trade shall become an Open CDS Position in the SWES Contract for
which no such Event Determination Date has occurred; and/or
(c)
specifies a Transaction Type other than Standard Western European
Sovereign, such Trade shall become an Open CDS Position in the SWES
Contract otherwise equivalent to such Trade but specifying Standard Western
European Sovereign as the Transaction Type.
26I-309.
(a)
Acceptance of SWES Contracts by ICE Clear Credit.
In addition to the acceptance process described in Rule 309, ICE Clear
Credit’s notice to the relevant CDS Participants that it has accepted a Trade
submitted for clearance shall include any adjustment that will be made by ICE
Clear Credit pursuant to Rule 26I-303. Such CDS Participants’ resubmission of
the terms of such Trade, as provided in Rule 309, shall include the adjustments
described by ICE Clear Credit in such notice.
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(b)
A CDS Participant shall make all reasonable efforts to not submit a Trade
for clearance as a SWES Contract, and any such Trade shall not be a
Conforming Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to such
SWES Contract;
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for such SWES Contract; or
(iii)
on or after the calendar day following the day on which the Final List (as
defined in the DC Rules) is published for a Restructuring CDS
Contract and at or before the close of business on the calendar day
following the CDS Regional Business Day following the latest possible
Exercise Cut-off Date for the related Relevant Restructuring Credit Event
under such Restructuring CDS Contract;
(such time with respect to any SWES Contract, the “Clearance Cut-off Time”);
provided that ICE Clear Credit may, by written notice to all CDS Participants
following consultation with the Risk Committee, designate a time other than the
time determined pursuant to clauses (i) through (iii) above as the Clearance Cutoff Time with respect to any SWES Contract.
(c)
A CDS Participant may not submit a Trade for clearance as a SWES Contract,
and any such Trade shall not be a Conforming Trade, if the time of submission
of the Trade or the Novation Time would be at a time when the CDS Participant
(or any Non-Participant Party for whom such CDS Participant is acting) is, or is
an Affiliate of, the Eligible SWES Reference Entity for such SWES Contract or is
subject to an agreement under which it is reasonably likely that the CDS
Participant (or any such Non-Participant Party) will become, or will become an
Affiliate of, the Eligible SWES Reference Entity for such SWES Contract.
(d)
A CDS Participant shall as soon as reasonably practicable notify ICE
Clear Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
(e)
If ICE Clear Credit determines that any Trade submitted for clearance
would have been subject to circumstances giving rise to a Successor and a
Succession Date but will no longer be subject to such circumstances upon
clearance because of the Trade Date that would be specified with respect to the
related Open CDS Position, ICE Clear Credit shall take such action as it deems
necessary to ensure that such circumstances are given effect with respect to
such Trade, including, without limitation, declining to accept such Trade for
clearance or specifying an alternate Trade Date for purposes of Section 2.1 of
the 2014 Definitions with respect to the relevant portion of the related Open CDS
Position.
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26I-315.
Terms of the Cleared SWES Contract.
(a)
Any capitalized term used in this Subchapter 26I but not defined in these
SWES Rules shall have the meaning provided in the Credit Derivatives
Definitions.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each SWES
Contract is the European Region.
(c)
The definitions and provisions contained in the 2014 Definitions (for the
purposes of the SWES Rules only, the “Credit Derivatives Definitions”), are
incorporated into the SWES Rules. In the event of any inconsistency between
the Credit Derivatives Definitions or the Confirmation (including in electronic
form) for a SWES Contract and these SWES Rules, these SWES Rules will
govern.
(d)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing the “.”
at the end of subparagraph (B) thereof with an “; and” and adding the
following as a new subparagraph (C):
“(C)
the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SWES
Contracts;”.
(e)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a SWES
Contract for a Credit Event other than M(M)R Restructuring will be deemed to
have been effectively delivered by the Notifying Party on the relevant Event
Determination Date determined under the CDS Committee Rules only when the
Resolution is effective, under the CDS Committee Rules, that a Credit Event
other than M(M)R Restructuring has occurred for which there is Publicly
Available Information, as described in CDS Committee Rule 2101-02(a)(iii), with
respect to such SWES Contract. Notwithstanding anything to the contrary in the
2014 Definitions, any delivery of a Credit Event Notice and/or Notice of Publicly
Available Information by a CDS Participant (other than (i) the deemed delivery
as provided in this Rule 26I-315(e) or (ii) notices with respect to a Relevant
Restructuring Credit Event as provided in the CDS Restructuring Rules) shall not
be valid.
(f)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions, Section
1.17 of the 2014 Definitions is hereby modified by replacing the term “Auction
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Final Price Determination Date” with the phrase “date that is one Relevant City
Business Day prior to the Auction Settlement Date”.
(g)
With respect to SWES Contracts for which it is Resolved by the Regional CDS
Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which there is
Publicly Available Information, as described in CDS Committee Rule 210102(a)(iii) or the DC Rules, as applicable, Buyer may not deliver a Notice of
Physical Settlement until after it is determined that the method of settlement for
a particular Credit Event is the Fallback Settlement Method due to the
occurrence of one of the events in Section 6.1 of the 2014 Definitions, and as
further provided in the CDS Physical Settlement Rules. For the avoidance of
doubt, the effectiveness of any Notice of Physical Settlement and obligations
relating thereto are subject to the suspension and finality provisions of Sections
10.1 and 10.2 of the 2014 Definitions.
(g)
Section 11.4 of the 2014 Definitions shall not apply.
(h)
The Settlement Method for particular SWES Contracts will be Auction
Settlement and the Fallback Settlement Method will be Physical Settlement in
accordance with the CDS Physical Settlement Rules.
(i)
The following terms will apply to each SWES Contract:
(j)
(i)
The "Agreement" is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The "Transaction Type" is Standard Western European Sovereign.
(iii)
The "Calculation Agent" is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iv)
The "Fixed Rate Payer Payment Dates" will be March 20, June 20,
September 20 and December 20.
(v)
The “Initial Payment Date” will be the date that is the first Business
Day immediately following the Trade Date; provided that with respect to a
SWES Contract that is accepted for clearing pursuant to Rule 309 after
the Trade Date thereof, the “Initial Payment Date” will be the date that is
the first Business Day following the date as of which such SWES
Contract is accepted for clearing pursuant to Rule 309.
For each SWES Contract, the following terms will be determined according to
the particular SWES Contract submitted for clearing, subject to Rule 26I-303:
(i)
Which of the Eligible SWES Reference Entities is the “Reference Entity”.
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(ii)
Which of the SWES Contract Reference Obligations specified for the
Reference Entity in the List of Eligible SWES Reference Entities is the
“Reference Obligation”.
(iii)
The “Trade Date”.
(iv)
The “Effective Date”.
(v)
Which of the eligible Scheduled Termination Dates specified for the
“Reference Entity” in the List of Eligible SWES Reference Entities is the
“Scheduled Termination Date”.
(vi)
The “Floating Rate Payer Calculation Amount”.
(vii)
The “Floating Rate Payer”.
(viii)
The “Fixed Rate Payer”.
(ix)
The “Fixed Rate”.
(x)
If applicable, the Matrix Publication Date for the Relevant Physical
Settlement Matrix.
(xi)
The “Initial Payment Payer”.
(xii)
The “Initial Payment Amount”.
(xiii)
Which of the eligible Seniority Levels applies.
26I-316.
(a)
Relevant Physical Settlement Matrix Updates.
Where ISDA publishes a version of the Credit Derivatives Physical
Settlement Matrix (a “New Matrix”) that is subsequent to the version that is
specified as the Relevant Physical Settlement Matrix for any SWES Contract(s),
and the Board or its designee determines that updating such SWES Contract(s)
to reference the New Matrix would not constitute a Contract Modification as
provided in Rule 616 (the date of such determination, the “Matrix Update
Date” and each prior Credit Derivatives Physical Settlement Matrix subject to
such determination, a “Superseded SWES Matrix”) and so notifies CDS
Participants, such SWES Contracts shall, as of the close of business on the
Matrix Update Date, become SWES Contracts referencing the New Matrix as
the Relevant Physical Settlement Matrix and the List of Eligible SWES
Reference Entities shall be updated accordingly. Any Trade referencing a
Superseded SWES Matrix submitted for clearing as a SWES Contract shall,
upon acceptance for clearing, become a SWES Contract referencing the New
Matrix.
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Rev. 03/29/2016
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(b)
The Board or its designee may determine a different Matrix Update Date
applicable to individual SWES Contracts or groups of SWES Contracts or may
determine a Matrix Update Date applicable to all SWES Contracts referencing a
Superseded SWES Matrix, as it deems appropriate.
26I-502.
Specified Actions.
Notwithstanding anything to the contrary in Rule 502(a) but without limiting the
application of Rule 616 to any Modification (including the requirement of consultation
with the Risk Committee, as provided in Rule 502(a), prior to determining that a
Modification is not a Contract Modification), none of the following shall constitute a
Specified Action: (a) adding and/or Modifying Permitted SWES Fixed Rates,
(b) adding new Eligible SWES Reference Entities, and adding and/or Modifying any
other entries in any of the fields in the List of Eligible SWES Reference Entities or (c) an
update to the List of Eligible SWES Reference Entities, as described in Rules 26I-316
and 26I-616.
26I-616.
Contract Modification.
It shall not constitute a Contract Modification if the Board or its designee updates the
List of Eligible SWES Reference Entities (and modifies the terms and conditions of
related SWES Contracts) to give effect to determinations by the Regional CDS
Committee (or applicable Dispute Resolver) or a Credit Derivatives Determinations
Committee, including, without limitation, determinations of circumstances that give rise
to Successors and Succession Dates, or Substitute Reference Obligations or
implementation of Standard Reference Obligations (or changes thereto). In addition, the
determination that “Standard Reference Obligation” will be applicable to an Eligible
SWES Reference Entity shall not constitute a Contract Modification.
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26J.
iTraxx Asia/Pacific.
The rules in this Subchapter 26J apply to the clearance of iTraxx Asia/Pacific
Untranched Contracts.
26J-102.
Definitions.
iTraxx Asia/Pacific Untranched Contract
A credit default swap in respect of any Eligible iTraxx Asia/Pacific Untranched
Index and governed by any iTraxx Asia/Pacific Untranched Terms Supplement.
An iTraxx Asia/Pacific Untranched Contract is a CDS Contract for purposes of
Chapter 20.
iTraxx Asia/Pacific Untranched Publisher
Markit Group Limited or its successor, or any successor sponsor of the Eligible
iTraxx Asia/Pacific Untranched Indexes it publishes.
iTraxx Asia/Pacific Untranched Rules
The rules set forth in Chapters 1 through 8 and 20 through 22, inclusive, as
modified by the provisions of Subchapter 26E and this Subchapter 26J.
iTraxx Asia/Pacific Untranched Terms Supplement
Any one of the following:
(a) The iTraxx Asia/Pacific Legacy Untranched Standard Terms
Supplement as published on September 20, 2014 together with the fourth
paragraph of the form of confirmation published on September 20, 2014
with respect to such standard terms supplement (or any relevant
electronic equivalent thereof) (the “Legacy 2014 Supplement”).
(b) The iTraxx Asia/Pacific Untranched Standard Terms Supplement as
published on September 20, 2014 together with the third paragraph of the
form of confirmation published on September 20, 2014 with respect to
such standard terms supplement (or any relevant electronic equivalent
thereof) (the “New 2014 Supplement”, and together with the Legacy 2014
Supplement, the “2014 Supplements”).
(c) Such other supplement as may be specified in relation to any Eligible
iTraxx Asia/Pacific Untranched Index by ICE Clear Credit, including any
successor to any of the documents listed in subparagraphs (a) or (b) of
this definition.
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For purposes of each iTraxx Asia/Pacific Untranched Contract, a
reference in the iTraxx Asia/Pacific Untranched Terms Supplement to an
“iTraxx Master Transaction” shall be deemed a reference to an iTraxx
Asia/Pacific Untranched Contract.
Eligible iTraxx Asia/Pacific Untranched Index
Each particular series and version of an iTraxx Asia ex-Japan or iTraxx Australia
index or sub-index, as published by the iTraxx Asia/Pacific Untranched Publisher,
determined by ICE Clear Credit to be eligible and included in the List of Eligible
iTraxx Asia/Pacific Untranched Indexes.
List of Eligible iTraxx Asia/Pacific Untranched Indexes
The list of Eligible iTraxx Asia/Pacific Untranched Indexes, maintained, updated
and published by the Board or its designee on the ICE Clear Credit website,
specifying the following information with respect to each index:
(a)
the name (either iTraxx Asia ex-Japan or iTraxx Australia) and series,
including any applicable sub-index designation;
(b)
the “Effective Date”;
(c)
one or more eligible “Scheduled Termination Dates” and the applicable
“Fixed Rate” for each such date;
(d)
the Relevant iTraxx Asia/Pacific Untranched Terms Supplement;
(e)
the versions (and related annex dates) eligible for clearing (and, if
applicable for the relevant index, the Applicable Credit Derivatives
Definitions for each component); and
(f)
any inactive versions (and related annex dates), i.e., those that have been
determined to be fungible with later versions.
Relevant iTraxx Asia/Pacific Untranched Terms Supplement
With respect to an Eligible iTraxx Asia/Pacific Untranched Index, the iTraxx
Asia/Pacific Untranched Terms Supplement specified for such Eligible iTraxx
Asia/Pacific Untranched Index in the List of Eligible iTraxx Asia/Pacific
Untranched Indexes.
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Rev. 03/29/2016
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26J-309.
Credit.
(a)
Acceptance of iTraxx Asia/Pacific Untranched Contracts by ICE Clear
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a iTraxx Asia/Pacific Untranched Contract, and any such Trade
shall not be a Conforming Trade, if the Novation Time would be:
(i)
at a time when the Fallback Settlement Method is applicable to a Credit
Event with respect to such iTraxx Asia/Pacific Untranched Contract; or
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for a Credit Event with respect to such
iTraxx Asia/Pacific Untranched Contract;
(such time with respect to any iTraxx Asia/Pacific Untranched Contract, the
“Clearance Cut-off Time”); provided that ICE Clear Credit may, by written notice
to all CDS Participants following consultation with the Risk Committee, designate
a time other than the time determined pursuant to clause (i) or (ii) above as the
Clearance Cut-off Time with respect to any iTraxx Asia/Pacific Untranched
Contract. CDS Participants may again submit Trades for clearance as such
iTraxx Asia/Pacific Untranched Contract, and such Trades shall again be
Conforming Trades, following receipt of notice from ICE Clear Credit that a
Fungibility Date (as defined in Rule 26J-316) has occurred with respect to such
iTraxx Asia/Pacific Untranched Contract.
(b)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
26J-315.
Terms of the Cleared iTraxx Asia/Pacific Untranched Contract.
(a)
Any capitalized term used in this Subchapter 26J but not defined in these iTraxx
Asia/Pacific Untranched Rules shall have the meaning provided in the Relevant
iTraxx Asia/Pacific Untranched Terms Supplement.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each iTraxx
Asia/Pacific Untranched Contract is the Asian Region.
(c)
Each iTraxx Asia/Pacific Untranched Contract will be governed by the Relevant
iTraxx Asia/Pacific Untranched Terms Supplement, as modified by these iTraxx
Asia/Pacific Untranched Rules. In the event of any inconsistency between the
Relevant iTraxx Asia/Pacific Untranched Terms Supplement or the Confirmation
(including in electronic form) for a iTraxx Asia/Pacific Untranched Contract and
these iTraxx Asia/Pacific Untranched Rules, these iTraxx Asia/Pacific
Untranched Rules will govern.
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Rev. 03/29/2016
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26J-316.
Updating Index Version of Fungible Contracts After a Credit Event or
a Succession Event; Updating Relevant Untranched Standard Terms Supplement.
(a)
Where the iTraxx Asia/Pacific Untranched Publisher of an Eligible iTraxx
Asia/Pacific Untranched Index publishes one or more subsequent versions or
annexes of the relevant series following a Credit Event or a Succession Event or
circumstances giving rise to a Successor and Succession Date with respect to a
Reference Entity included in such series, and the Board or its designee
determines that iTraxx Asia/Pacific Untranched Contracts referencing the earlier
version or annex of such series are fungible with iTraxx Asia/Pacific Untranched
Contracts referencing a later version or annex of such series that is an Eligible
iTraxx Asia/Pacific Untranched Index and so notifies CDS Participants, iTraxx
Asia/Pacific Untranched Contracts referencing the earlier version or annex of
such series shall become iTraxx Asia/Pacific Untranched Contracts referencing
such later version or annex of such series on the date determined by the Board
or its designee (the “Fungibility Date”). Any iTraxx Asia/Pacific Untranched
Contracts referencing the earlier version or annex of such series submitted for
clearing after the related Fungibility Date shall, upon acceptance for clearing,
become a iTraxx Asia/Pacific Untranched Contract referencing the latest version
or annex of such series that the Board or its designee has determined is fungible
with such earlier version or annex.
(b)
Where a new version of the iTraxx Asia/Pacific Untranched Terms Supplement (a
“New Standard Terms”) is published as of a date that is subsequent to the date
of the version that is specified as the Relevant iTraxx Asia/Pacific Untranched
Terms Supplement for any iTraxx Asia/Pacific Untranched Contract(s) (the
“Existing Standard Terms”), and the Board or its designee determines that
iTraxx Asia/Pacific Untranched Contracts referencing the Existing Standard
Terms are fungible with iTraxx Asia/Pacific Untranched Contracts referencing the
New Standard Terms, and so notifies CDS Participants, iTraxx Asia/Pacific
Untranched Contracts referencing the Existing Standard Terms shall become
iTraxx Asia/Pacific Untranched Contracts referencing the New Standard Terms
on the date determined by the Board or its designee (the “Standard Terms
Update Date” and each prior iTraxx Asia/Pacific Untranched Terms Supplement
subject to such determination, a “Superseded Standard Terms”). Any Trade
referencing a Superseded Standard Terms submitted for clearing as a iTraxx
Asia/Pacific Untranched Contract shall, upon acceptance for clearing, become a
iTraxx Asia/Pacific Untranched Contract referencing the New Standard Terms.
(c)
The Board or its designee may determine a different Fungibility Date or Standard
Terms Update Date applicable to individual iTraxx Asia/Pacific Untranched
Contracts or groups of iTraxx Asia/Pacific Untranched Contracts or may
determine a Fungibility Date or Standard Terms Update Date applicable to all
iTraxx Asia/Pacific Untranched Contracts referencing the earlier version or annex
of a series described in clauses (a) or (b) of this Rule, as it deems appropriate.
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26J-317.
Terms of iTraxx Asia/Pacific Untranched Contracts.
With respect to each iTraxx Asia/Pacific Untranched Contract, the following terms will
apply:
(a)
The following provisions will apply to each iTraxx Asia/Pacific Untranched
Contract or component thereof to which the 2003 Definitions apply under the
Relevant iTraxx Asia/Pacific Untranched Terms Supplement:
(i)
Section 3.2(c)(i) of the 2003 Definitions is hereby amended by replacing
the "or" at the end of subparagraph (B) thereof with an "and" and adding
the following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such iTraxx
Asia/Pacific Untranched Contracts; or".
(ii)
For the purposes of any determination as to whether a Credit Event has
occurred in respect of a Reference Entity or an Obligation thereof:
(A) at any time up to but excluding June 20, 2009; or
(B) if (1) a Credit Event Resolution Request Date occurs or (2) a Credit
Event Notice and a Notice of Publicly Available Information are
deemed delivered pursuant to Rule 2101-02(f) by a Notifying Party,
in either case before June 20, 2009,
the Credit Event Backstop Date with respect to such determination shall
be deemed to be the Effective Date.
(iii)
For the purposes of any determination as to whether a Succession Event
has occurred in respect of a Reference Entity:
(A) at any time up to but excluding June 20, 2009; or
(B) if (1) a Succession Event Resolution Request Date occurs or (2)
a Succession Event Notice is deemed delivered pursuant to
Rule 2101-02(f), in either case before June 20, 2009,
the Succession Event Backstop Date with respect to such Reference
Entity shall be deemed to be the Effective Date.
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(b)
(iv)
Except for purposes of Rule 26J-317(a)(ii) and Section 1.23 of the 2003
Definitions, a Credit Event Notice and Notice of Publicly Available
Information with respect to a iTraxx Asia/Pacific Untranched Contract for a
Credit Event other than Restructuring will be deemed to have been
effectively delivered by the Notifying Party on the relevant Event
Determination Date determined under the CDS Committee Rules only
when the Resolution is effective, under the CDS Committee Rules, that a
Credit Event other than Restructuring has occurred for which there is
Publicly Available Information, as described in CDS Committee Rule
2101-02(a)(iii), with respect to such iTraxx Asia/Pacific Untranched
Contract. Notwithstanding anything to the contrary in the 2003 Definitions
or any Relevant iTraxx Asia/Pacific Untranched Terms Supplement, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26J-317(a)(iv) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
(v)
Section 1.8(a)(ii)(A)(I)(3)(y) of the 2003 Definitions is hereby modified by
replacing the term “Auction Final Price Determination Date” with the
phrase “date that is one Relevant City Business Day prior to the Auction
Settlement Date”.
(vi)
Section 1.30 of the 2003 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” in clause (ii) of the last
sentence thereof with the phrase “date that is one Relevant City Business
Day prior to the Auction Settlement Date”.
(vii)
With respect to iTraxx Asia/Pacific Untranched Contracts for which it is
Resolved by the Regional CDS Committee (or applicable Dispute
Resolver) or Credit Derivatives Determinations Committee that a Credit
Event has occurred for which there is Publicly Available Information, as
described in CDS Committee Rule 2101-02(a)(iii) or the DC Rules, as
applicable, Buyer may not deliver a Notice of Physical Settlement until
after it is determined that the method of settlement for a particular Credit
Event is the Fallback Settlement Method due to the occurrence of one of
the events in Section 12.1 of the 2003 Definitions and as further provided
in the CDS Physical Settlement Rules. For the avoidance of doubt, the
effectiveness of any Notice of Physical Settlement and obligations relating
thereto are subject to the suspension and finality provisions of Sections
6.5 and 9.1(c)(iii) of the 2003 Definitions.
The following provisions will apply to each iTraxx Asia/Pacific Untranched
Contract or component thereof to which the 2014 Definitions apply under the
Relevant iTraxx Asia/Pacific Untranched Terms Supplement:
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(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the "." at the end of subparagraph (B) thereof with "; and" and adding the
following as a new subparagraph (C):
"(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such iTraxx
Asia/Pacific Untranched Contracts.".
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a iTraxx
Asia/Pacific Untranched Contract for a Credit Event other than M(M)R
Restructuring will be deemed to have been effectively delivered by the
Notifying Party on the relevant Event Determination Date determined
under the CDS Committee Rules only when the Resolution is effective,
under the CDS Committee Rules, that a Credit Event other than M(M)R
Restructuring has occurred for which there is Publicly Available
Information, as described in CDS Committee Rule 2101-02(a)(iii), with
respect to such iTraxx Asia/Pacific Untranched Contract. Notwithstanding
anything to the contrary in the 2014 Definitions or the Relevant iTraxx
Asia/Pacific Untranched Terms Supplement, any delivery of a Credit Event
Notice and/or Notice of Publicly Available Information by a CDS
Participant (other than (i) the deemed delivery as provided in this Rule
26J-317(b)(ii) or (ii) notices with respect to a Relevant Restructuring Credit
Event as provided in the CDS Restructuring Rules) shall not be valid. For
the avoidance of doubt, Section C.2 of the Legacy 2014 Supplement and
Section 5.7 of the New 2014 Supplement shall not apply.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to iTraxx Asia/Pacific Untranched Contracts for which it is
Resolved by the Regional CDS Committee (or applicable Dispute
Resolver) or Credit Derivatives Determinations Committee that a Credit
Event has occurred for which there is Publicly Available Information, as
described in CDS Committee Rule 2101-02(a)(iii) or the DC Rules, as
applicable, Buyer may not deliver a Notice of Physical Settlement until
after it is determined that the method of settlement for a particular Credit
Event is the Fallback Settlement Method due to the occurrence of one of
the events in Section 6.1 of the 2014 Definitions, and as further provided
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in the CDS Physical Settlement Rules. For the avoidance of doubt, the
effectiveness of any Notice of Physical Settlement and obligations relating
thereto are subject to the suspension and finality provisions of Sections
10.1 and 10.2 of the 2014 Definitions.
(c)
The Settlement Method for particular iTraxx Asia/Pacific Untranched Contracts
will be Auction Settlement and the Fallback Settlement Method will be Physical
Settlement in accordance with the CDS Physical Settlement Rules.
(d)
Notwithstanding anything to the contrary in the Relevant iTraxx Asia/Pacific
Untranched Terms Supplement, the Reference Obligation for purposes of a New
Trade (as defined therein) will be the Reference Obligation for the Restructured
Entity in question as specified by ICE Clear Credit following consultation with the
CDS Risk Committee (which for the avoidance of doubt may be determined by
reference to any Standard Reference Obligation).
(e)
The following terms will apply to each iTraxx Asia/Pacific Untranched Contract:
(f)
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Effective Date” is the date specified in the List of Eligible iTraxx
Asia/Pacific Indexes for the relevant Index.
(iii)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iv)
“De Minimis Cash Settlement” under the Relevant iTraxx Asia/Pacific
Untranched Terms Supplement is not applicable.
(v)
The “Fixed Rate” is the rate specified in the List of Eligible iTraxx
Asia/Pacific Indexes for the relevant Index and Scheduled Termination
Date.
(vi)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a
iTraxx Asia/Pacific Untranched Contract that is accepted for clearing
pursuant to Rule 309 after the Trade Date thereof, the “Initial Payment
Date” will be the date that is the first Business Day following the date as of
which such iTraxx Asia/Pacific Untranched Contract is accepted for
clearing pursuant to Rule 309.
For each iTraxx Asia/Pacific Untranched Contract, the following terms will be
determined according to the particular iTraxx Asia/Pacific Untranched Contract
submitted for clearing:
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(i)
Which of the Eligible iTraxx Asia/Pacific Untranched Indexes is the
“Index”.
(ii)
The “Annex Date”.
(iii)
The “Trade Date”.
(iv)
Which of the eligible Scheduled Termination Dates specified for the Index
in the List of Eligible iTraxx Asia/Pacific Untranched Indexes is the
“Scheduled Termination Date”.
(v)
The “Original Notional Amount”.
(vi)
The “Floating Rate Payer”.
(vii)
The “Fixed Rate Payer”.
(viii)
The “Initial Payment Payer”.
(ix)
The “Initial Payment Amount”.
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26K. Reserved.
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26L. Asia/Pacific Sovereign (“SAS”) Single Name.
The rules in this Subchapter 26L apply to the clearance of SAS Contracts.
26L-102.
Definitions.
Eligible SAS Reference Entities
Each particular Reference Entity included in the List of Eligible SAS Reference
Entities as determined by ICE Clear Credit to be eligible (specifically the
Commonwealth of Australia, the Malaysian Federation, the People’s Republic of
China, the Republic of Indonesia, the Republic of Korea and the Republic of the
Philippines). For the avoidance of doubt, if there are multiple Reference Entity
Database codes (as published by Markit Group Limited or any successor
thereto, such codes “RED Codes”) for a particular Reference Entity listed in the
List of Eligible SAS Reference Entities, each such RED Code shall be treated as
a separate Eligible SAS Reference Entity.
Eligible SAS Reference Obligations
With respect to any SAS Contract Reference Obligation for any Eligible SAS
Reference Entity, the Reference Obligations determined by ICE Clear Credit
to be eligible and listed under the heading “Eligible Reference Obligations” for
such SAS Contract Reference Obligation and Eligible SAS Reference Entity in
the List of Eligible SAS Reference Entities. In the case of a 2014-Type CDS
Contract where “Standard Reference Obligation” is applicable to the SAS
Reference Entity and ICE Clear Credit has implemented the Standard
Reference Obligation, the Standard Reference Obligation shall be an Eligible
SAS Reference Obligation.
List of Eligible SAS Reference Entities
The list of Eligible SAS Reference Entities, maintained, updated and
published by the Board or its designee on the ICE Clear Credit website,
specifying the following information (and the permissible combinations thereof,
which may distinguish, where applicable, between 2003-Type CDS Contracts
and 2014-Type CDS Contracts)) with respect to each Eligible SAS Reference
Entity:
(a)
the name of such Eligible SAS Reference Entity and the RED Code(s)
for such Eligible SAS Reference Entity;
(b)
each Relevant Physical Settlement Matrix and Transaction Type for such
Eligible SAS Reference Entity, which shall be Standard Australia
Sovereign, in the case of the Commonwealth of Australia, and Standard
Asia Sovereign, in the case of other Eligible SAS Reference Entities;
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(c)
each SAS Contract Reference Obligation and each Eligible SAS
Reference Obligation for each such SAS Contract Reference Obligation;
(d)
each eligible “Scheduled Termination Date”; and
(e)
the Sector “Government” (as published by Markit Group Limited or any
successor thereto);
(f)
the currency in which the Floating Rate Payer Calculation Amount must be
denominated and the currency to be used for the calculation of Margin,
which shall be USD;
(g)
the Applicable Credit Derivatives Definitions;
(h)
in the case of a 2014-Type CDS Contract, the eligible Seniority Levels;
and
(i)
in the case of a 2014-Type CDS Contract, whether “Standard Reference
Obligation” is applicable.
Permitted SAS Fixed Rates
The Fixed Rates permitted for a SAS Contract, as determined from time to time
by the Board or its designee and notified to CDS Participants.
Relevant Physical Settlement Matrix
With respect to a SAS Contract, the “Credit Derivatives Physical Settlement
Matrix” applicable to such SAS Contract, as specified in the combination of
characteristics listed as eligible for the relevant Eligible SAS Reference Entity in,
and permitted by, the List of Eligible SAS Reference Entities.
SAS Contract
A credit default swap in respect of any Eligible SAS Reference Entity having a
combination of characteristics listed as eligible for such Eligible SAS Reference
Entity in, and permitted by, the List of Eligible SAS Reference Entities. A SAS
Contract is a CDS Contract for purposes of Chapter 20.
SAS Contract Reference Obligations
With respect to any Eligible SAS Reference Entity, the Reference Obligation(s)
listed under the heading “SAS Contract Reference Obligations” for such Eligible
SAS Reference Entity in the List of Eligible SAS Reference Entities (which, for
the avoidance of doubt, may indicate “No Reference Obligation”, indicating that
no obligation is specified as a Reference Obligation). In the case of a 2014-Type
CDS Contract where “Standard Reference Obligation” is applicable to the SAS
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Reference Entity and ICE Clear Credit has implemented the Standard Reference
Obligation, the SAS Contract Reference Obligation shall thereafter be such
Standard Reference Obligation, subject to Section 2.9 of the 2014 Definitions.
SAS Rules
The rules set forth in Chapters 1 through 8, 20 through 22, inclusive, and the
CDS Restructuring Rules, as modified by the provisions of this Subchapter 26L.
26L-203.
Restriction on Activity.
(a)
In addition to the other rights granted to ICE Clear Credit in Rule 203, in the
event a CDS Participant (or a Non-Participant Party for whom such CDS
Participant is acting) is subject to an event or agreement described in Rule 26L206 or in the event such CDS Participant submits a Trade of the type described
in Rule 26L-309(c) that is not a Conforming Trade and such Trade is cleared
pursuant to these Rules (in each case, an “SR CDS Participant”), ICE Clear
Credit may conduct an auction process to replace all of the SR CDS Participant’s
Open CDS Positions in the affected CDS Contracts (including, if applicable,
those on behalf of any such Non-Participant Party) (each auction in such
process, an “SR Auction”). ICE Clear Credit shall have the authority to
determine the timing and other particular characteristics of each SR Auction in
consultation with the CDS Default Committee, including determining the size of
the bid/offer spread and/or of the CDS Contracts to be auctioned, whether one or
more SR Auctions are to be held and the timing and structure of such auctions
and whether CDS Participants other than the SR CDS Participant will be required
to submit actionable quotations in an SR Auction.
(b)
ICE Clear Credit shall enter into Trades in one or more CDS Contracts with the
CDS Participant(s) and in the amount determined pursuant to the SR Auction, at
which time the corresponding Open CDS Positions of the SR CDS Participant
shall be reduced or terminated, as applicable. The SR CDS Participant and the
other CDS Participants shall be obligated to submit to Deriv/SERV or another
service specified by ICE Clear Credit the terms of such reduction, termination or
Trade, as applicable. Amounts owed by the SR CDS Participant to (or receivable
by the SR CDS Participant from) ICE Clear Credit in connection with any such
reduction or termination shall be determined by ICE Clear Credit using the prices
determined pursuant to the SR Auctions. In addition, any Initial Payments,
Margin, or other payments or deliveries owed (including the dates of settlement
with respect thereto) relating to the Open CDS Positions increased, created,
reduced or terminated pursuant to this Rule 26L-203(b) shall be as determined
by ICE Clear Credit with reference to the SR Auction and, notwithstanding Rules
301 or 303, Initial Payments may be owed in respect to CDS Contracts entered
into by ICE Clear Credit pursuant to an SR Auction.
26L-206.
Notices Required of Participants with respect to SAS Contracts.
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In addition to the notice requirements contained in Rule 206, a CDS Participant shall
provide notice to ICE Clear Credit in the event that such CDS Participant (or a NonParticipant Party for whom such CDS Participant is acting) or an Eligible SAS
Reference Entity consolidates or amalgamates with, or merges into, or transfers all or
substantially all of its assets to, the Eligible SAS Reference Entity or such CDS
Participant (or Non-Participant Party for whom such CDS Participant is acting), as
applicable, or such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) and an Eligible SAS Reference Entity are the same entity or are or
become Affiliates, or, subject to any restrictions on such disclosure imposed by law or
regulation, such CDS Participant (or Non-Participant Party for whom such CDS
Participant is acting) is subject to an agreement pursuant to which any of the foregoing
is reasonably likely to occur.
26L-303.
SAS Contract Adjustments.
In addition to the adjustments described in Rule 303, upon clearance of a Trade
otherwise equivalent to a SAS Contract but that:
(a)
specifies an Eligible SAS Reference Obligation as the “Reference Obligation”,
such Trade shall become an Open CDS Position in the SAS Contract with the
SAS Contract Reference Obligation specified for such Eligible SAS Reference
Obligation in the List of Eligible SAS Reference Entities;
(b)
an Event Determination Date has occurred with respect to a Restructuring, such
Trade shall become an Open CDS Position in the SAS Contract for which no
such Event Determination Date has occurred; and/or
(c)
specifies a Transaction Type other than Standard Australia Sovereign or
Standard Asia Sovereign, as applicable, such Trade shall become an Open CDS
Position in the SAS Contract otherwise equivalent to such Trade but specifying
Standard Australia Sovereign or Standard Asia Sovereign, as applicable, as the
Transaction Type.
26L-309.
Acceptance of SAS Contracts by ICE Clear Credit.
(a)
In addition to the acceptance process described in Rule 309, ICE Clear Credit’s
notice to the relevant CDS Participants that it has accepted a Trade submitted for
clearance shall include any adjustment that will be made by ICE Clear Credit
pursuant to Rule 26L-303. Such CDS Participants’ resubmission of the terms of
such Trade, as provided in Rule 309, shall include the adjustments described by
ICE Clear Credit in such notice.
(b)
A CDS Participant shall make all reasonable efforts to not submit a Trade for
clearance as a SAS Contract, and any such Trade shall not be a Conforming
Trade, if the Novation Time would be:
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(i)
at a time when the Fallback Settlement Method is applicable to such SAS
Contract;
(ii)
at or after the close of business on the calendar day following the Auction
Final Price Determination Date for such SAS Contract; or
(iii)
on or after the calendar day following the day on which the Final List (as
defined in the DC Rules) is published for a Restructuring CDS Contract
and at or before the close of business on the calendar day following the
CDS Regional Business Day following the latest possible Exercise Cut-off
Date for the related Relevant Restructuring Credit Event under such
Restructuring CDS Contract;
(such time with respect to any SAS Contract, the “Clearance Cut-off Time”);
provided that ICE Clear Credit may, by written notice to all CDS Participants
following consultation with the Risk Committee, designate a time other than the
time determined pursuant to clauses (i) through (iii) above as the Clearance Cutoff Time with respect to any SAS Contract.
(c)
A CDS Participant may not submit a Trade for clearance as a SAS Contract, and
any such Trade shall not be a Conforming Trade, if the time of submission of the
Trade or acceptance or the Novation Time would be at a time when the CDS
Participant (or any Non-Participant Party for whom such CDS Participant is
acting) is, or is an Affiliate of, the Eligible SAS Reference Entity for such SAS
Contract or is subject to an agreement under which it is reasonably likely that the
CDS Participant (or any such Non-Participant Party) will become, or will become
an Affiliate of, the Eligible SAS Reference Entity for such SAS Contract.
(d)
A CDS Participant shall as soon as reasonably practicable notify ICE Clear
Credit if any Trade it has submitted for clearance was not at the time of
submission, or ceases to be prior to the Novation Time, a Conforming Trade.
(e)
If ICE Clear Credit determines that any Trade submitted for clearance would
have been subject to a Succession Event (in the case of a 2003-Type CDS
Contract) or circumstances giving rise to a Successor and a Succession Date (in
the case of a 2014-Type CDS Contract) but will no longer be subject to such
Succession Event or such circumstances, as the case may be, upon clearance
because of the Trade Date that would be specified with respect to the related
Open CDS Position, ICE Clear Credit shall take such action as it deems
necessary to ensure that such Succession Event is given effect or such
circumstances are given effect, as the case may be, with respect to such Trade,
including, without limitation, declining to accept such Trade for clearance or
specifying an alternate Trade Date for purposes of Section 2.1 of the Applicable
Credit Derivatives Definitions with respect to the relevant portion of the related
Open CDS Position.
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26L-315.
Terms of the Cleared SAS Contract.
(a)
Any capitalized term used in this Subchapter 26L but not defined in these SAS
Rules shall have the meaning provided in the Credit Derivatives Definitions.
(b)
For purposes of the CDS Committee Rules, the CDS Region for each SAS
Contract is the Asian Region.
(c)
The definitions and provisions contained in the Applicable Credit Derivatives
Definitions (for the purposes of the SAS Rules only, the “Credit Derivatives
Definitions”) are incorporated into the SAS Rules. In the event of any
inconsistency between the Credit Derivatives Definitions or the Confirmation
(including in electronic form) for a SAS Contract and these SAS Rules, these
SAS Rules will govern.
(d)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2003 Definitions:
(i)
If a Convened DC (as defined in the DC Rules) resolves, pursuant to the
DC Rules, (i) a question of interpretation regarding the provisions of the
July 2009 Protocol (as defined in the DC Rules) or (ii) to make any
amendments to Schedule 1 of the July 2009 Protocol, in each case that
affect a SAS Contract, ICE Clear Credit shall, as promptly as practicable,
make conforming changes to these Rules in order to implement such
resolutions. Notwithstanding anything to the contrary in Rule 616, any
change made to the Rules in accordance with this paragraph (d) shall not
constitute a Contract Modification.
(ii)
Section 3.2(c)(i) of the Credit Derivatives Definitions is hereby amended
by replacing the “or” at the end of subparagraph (B) thereof with an “and”
and adding the following as a new subparagraph (C):
“(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SAS Contracts;
or”.
(iii)
Except for purposes of Section 1.23 of the Credit Derivatives Definitions, a
Credit Event Notice and Notice of Publicly Available Information with
respect to a SAS Contract will be deemed to have been effectively
delivered by the Notifying Party for a Credit Event other than Restructuring
on the relevant Event Determination Date determined under the CDS
Committee Rules only when the Resolution is effective, under the CDS
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Committee Rules, that a Credit Event other than Restructuring has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SAS Contract.
Notwithstanding anything to the contrary in the Credit Derivatives
Definitions, any delivery of a Credit Event Notice and/or Notice of Publicly
Available Information by a CDS Participant (other than (i) the deemed
delivery as provided in this Rule 26L-315(d)(iii) or (ii) notices with respect
to a Relevant Restructuring Credit Event as provided in the CDS
Restructuring Rules) shall not be valid.
(iv)
(A)
Section 1.8(a)(ii)(A)(I)(3)(y) of the Credit Derivatives Definitions is
hereby modified by replacing the term “Auction Final Price Determination
Date” with the phrase “date that is one Relevant City Business Day prior to
the Auction Settlement Date”.
(B)
Section 1.30 of the Credit Derivatives Definitions is hereby modified
by replacing the term “Auction Final Price Determination Date” in clause
(ii) of the last sentence thereof with the phrase “date that is one Relevant
City Business Day prior to the Auction Settlement Date”.
(v)
With respect to SAS Contracts for which it is Resolved by the applicable
Regional CDS Committee (or applicable Dispute Resolver) or Credit
Derivatives Determinations Committee that a Credit Event has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may
not deliver a Notice of Physical Settlement until after it is determined that
the method of settlement for a particular Credit Event is the Fallback
Settlement Method due to the occurrence of one of the events in Section
12.1 of the Credit Derivatives Definitions and as further provided in the
CDS Physical Settlement Rules. For the avoidance of doubt, the
effectiveness of any Notice of Physical Settlement and obligations relating
thereto are subject to the suspension and finality provisions of Sections
6.5 and 9.1(c)(iii) of the Credit Derivatives Definitions.
(vi)
Notwithstanding Section 2.9 of the Credit Derivatives Definitions, the initial
Fixed Rate Payer Calculation Period shall commence on, and include, the
Fixed Rate Payer Payment Date falling on or immediately prior to the
calendar day immediately following the Trade Date.
For purposes of this provision, Section 2.10 of the Credit Derivatives
Definitions shall be deemed amended by deleting the words “during the
term of the transaction”.
(e)
The following provisions shall apply if the Applicable Credit Derivatives
Definitions are the 2014 Definitions:
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(i)
Section 8.10(a) of the 2014 Definitions is hereby amended by replacing
the “.” at the end of subparagraph (B) thereof with an “; and” and adding
the following as a new subparagraph (C):
“(C) the tenth calendar day after the date of the actual decision by the
relevant Regional CDS Committee (or Dispute Resolver) to Resolve (i.e.,
determined without regard to any Effectiveness Convention or any time of
effectiveness specified in a Presented Position) that a Credit Event has
occurred for which there is Publicly Available Information, as described in
CDS Committee Rule 2101-02(a)(iii), with respect to such SAS
Contracts.".
(ii)
Except for purposes of Section 1.39 of the 2014 Definitions, a Credit Event
Notice and Notice of Publicly Available Information with respect to a SAS
Contract for a Credit Event other than M(M)R Restructuring will be
deemed to have been effectively delivered by the Notifying Party on the
relevant Event Determination Date determined under the CDS Committee
Rules only when the Resolution is effective, under the CDS Committee
Rules, that a Credit Event other than M(M)R Restructuring has occurred
for which there is Publicly Available Information, as described in CDS
Committee Rule 2101-02(a)(iii), with respect to such SAS Contract.
Notwithstanding anything to the contrary in the 2014 Definitions, any
delivery of a Credit Event Notice and/or Notice of Publicly Available
Information by a CDS Participant (other than (i) the deemed delivery as
provided in this Rule 26L-315(e)(ii) or (ii) notices with respect to a
Relevant Restructuring Credit Event as provided in the CDS Restructuring
Rules) shall not be valid.
(iii)
For the purposes only of Section 1.16(a)(ii)(A)(II) of the 2014 Definitions,
Section 1.17 of the 2014 Definitions is hereby modified by replacing the
term “Auction Final Price Determination Date” with the phrase “date that is
one Relevant City Business Day prior to the Auction Settlement Date”.
(iv)
With respect to SAS Contracts for which it is Resolved by the Regional
CDS Committee (or applicable Dispute Resolver) or Credit Derivatives
Determinations Committee that a Credit Event has occurred for which
there is Publicly Available Information, as described in CDS Committee
Rule 2101-02(a)(iii) or the DC Rules, as applicable, Buyer may not deliver
a Notice of Physical Settlement until after it is determined that the method
of settlement for a particular Credit Event is the Fallback Settlement
Method due to the occurrence of one of the events in Section 6.1 of the
2014 Definitions, and as further provided in the CDS Physical Settlement
Rules. For the avoidance of doubt, the effectiveness of any Notice of
Physical Settlement and obligations relating thereto are subject to the
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suspension and finality provisions of Sections 10.1 and 10.2 of the 2014
Definitions.
(v)
Section 11.4 of the Credit Derivatives Definitions shall not apply.
(f)
The Settlement Method for particular SAS Contracts will be Auction Settlement
and the Fallback Settlement Method will be Physical Settlement in accordance
with the CDS Physical Settlement Rules.
(g)
The following terms will apply to each SAS Contract:
(h)
(i)
The “Agreement” is the Participant Agreement between the relevant CDS
Participant and ICE Clear Credit.
(ii)
The “Calculation Agent” is ICE Clear Credit, except as provided in the
CDS Committee Rules.
(iii)
The “Fixed Rate Payer Payment Dates” will be March 20, June 20,
September 20 and December 20.
(iv)
The “Initial Payment Date” will be the date that is the first Business Day
immediately following the Trade Date; provided that with respect to a SAS
Contract that is accepted for clearing pursuant to Rule 309 after the Trade
Date thereof, the “Initial Payment Date” will be the date that is the first
Business Day following the date as of which such SAS Contract is
accepted for clearing pursuant to Rule 309.
For each SAS Contract, the following terms will be determined according to the
particular SAS Contract submitted for clearing, subject to Rule 26L-303:
(i)
Which of the Eligible SAS Reference Entities is the “Reference Entity”.
(ii)
Which of the SAS Contract Reference Obligations specified for the
Reference Entity in the List of Eligible SAS Reference Entities is the
“Reference Obligation”.
(iii)
The “Trade Date”.
(iv)
The “Effective Date”.
(v)
Which of the eligible Scheduled Termination Dates specified for the
“Reference Entity” in the List of Eligible SAS Reference Entities is the
“Scheduled Termination Date”.
(vi)
The “Floating Rate Payer Calculation Amount”.
(vii)
The “Floating Rate Payer”.
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(viii)
The “Fixed Rate Payer”.
(ix)
The “Fixed Rate”.
(x)
The “Transaction Type”, which must be Standard Australia Sovereign or
Standard Asia Sovereign, as applicable.
(xi)
If applicable, the Matrix Publication Date for the Relevant Physical
Settlement Matrix.
(xii)
The “Initial Payment Payer”.
(xiii)
The “Initial Payment Amount”.
(xiv)
Which of the eligible Applicable Credit Derivatives Definitions applies.
(xv)
In the case of a 2014-Type CDS Contract, which of the eligible Seniority
Levels applies.
26L-316.
Relevant Physical Settlement Matrix Updates.
(a)
Where ISDA publishes a version of the Credit Derivatives Physical Settlement
Matrix (a “New SAS Matrix”) that is subsequent to the version that is specified as
the Relevant Physical Settlement Matrix for any SAS Contract(s), and the Board
or its designee determines that updating such SAS Contract(s) to reference the
New SAS Matrix would not constitute a Contract Modification as provided in Rule
616 (the date of such determination, the “SAS Matrix Update Date” and each
prior Credit Derivatives Physical Settlement Matrix subject to such determination,
a “Superseded SAS Matrix”) and so notifies CDS Participants, such SAS
Contracts shall, as of the close of business on the SAS Matrix Update Date,
become SAS Contracts referencing the New SAS Matrix as the Relevant
Physical Settlement Matrix and the List of Eligible SAS Reference Entities shall
be updated accordingly. Any Trade referencing a Superseded SAS Matrix
submitted for clearing as a SAS Contract shall, upon acceptance for clearing,
become a SAS Contract referencing the New SAS Matrix.
(b)
The Board or its designee may determine a different SAS Matrix Update Date
applicable to individual SAS Contracts or groups of SAS Contracts or may
determine a SAS Matrix Update Date applicable to all SAS Contracts referencing
a Superseded SAS Matrix, as it deems appropriate.
26L-502.
Specified Actions.
Notwithstanding anything to the contrary in Rule 502(a) but without limiting the
application of Rule 616 to any Modification (including the requirement of consultation
with the Risk Committee, as provided in Rule 502(a), prior to determining that a
Modification is not a Contract Modification), none of the following shall constitute a
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Specified Action: (a) adding and/or Modifying Permitted SAS Fixed Rates, (b) adding
new Eligible SAS Reference Entities and related Transaction Types, and adding and/or
Modifying any other entries in any of the fields in the List of Eligible SAS Reference
Entities or (c) an update to the List of Eligible SAS Reference Entities, as described in
Rules 26L-316 and 26L-616.
26L-616.
Contract Modification.
It shall not constitute a Contract Modification if the Board or its designee updates the
List of Eligible SAS Reference Entities (and modifies the terms and conditions of related
SAS Contracts) to give effect to determinations by the applicable Regional CDS
Committee (or applicable Dispute Resolver) or a Credit Derivatives Determinations
Committee, including, without limitation, determinations of Succession Events or
circumstances that give rise to Successors and Succession Dates, or Substitute
Reference Obligations or implementation of Standard Reference Obligations (or
changes thereto). In addition, the determination that “Standard Reference Obligation”
will be applicable to an Eligible SAS Reference Entity shall not constitute a Contract
Modification.
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Schedule 401: Eligible Collateral & Thresholds
Non-Client Initial Margin and Guaranty Fund Liquidity Requirements
Non-Client US Dollar Denominated Product Requirements
Asset Type
Minimum Percentage of
Requirement*
US Dollar Cash
45%
US Dollar Denominated Assets
+ 20%
(US Cash and/or US Treasuries)
(for a total 65%)
All Eligible Collateral
+ 35%
(US Treasuries and/or G7 cash)
(for a total of 100%)
* Subject to GF minimum required contribution of $20 MM being 100% in US Cash
Non-Client Euro Denominated Product Requirements
Asset Type
Euro Cash
All Eligible Collateral
(US Treasuries and/or G7 cash)
Minimum Percentage of
Requirement*
65%
+ 35%
(for a total of 100%)
* Subject to GF minimum required contribution of $20 MM being 100% in US Cash
Client-Related Initial Margin Liquidity Requirements
Client-Related US Dollar Denominated Product Requirements
Asset Type
Minimum Percentage of
Requirement
US Dollar Denominated Assets
65%
(US Cash and/or US Treasuries)
All Eligible Collateral
+ 35%
(US Treasuries and/or G7 cash)
(for a total of 100%)
Client-Related Euro Denominated Product Requirements
Asset Type
Minimum Percentage of
Requirement
Euro and/or US Dollar Denominated Assets
65%
(US Cash, Euro Cash, and/or US Treasuries)
All Eligible Collateral
+ 35%
(US Treasuries and/or G7 cash)
(for a total of 100%)
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Schedule 503: Form of Risk Committee Confidentiality Agreement
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Confidentiality Agreement
THIS CONFIDENTIALITY AGREEMENT (this “Agreement”) is made as of
this [___] day of [_________], 20[__], by and between ICE Clear Credit LLC (the “Company”)
and [CLEARINGHOUSE MEMBER] (the “Clearinghouse Member”).
WHEREAS, the Company and the Clearinghouse Member wish to enter into this
Agreement in connection with the Clearinghouse Member’s appointment of a member (the
“Committee Member”) of the Risk Committee (as defined in the Rules of ICE Clear Credit
LLC (the “Rules”); capitalized terms used but not defined in this Agreement shall have the
meanings given to them in the Rules); and
WHEREAS, in connection with the Committee Member’s appointment to the
Risk Committee, the Company may furnish, or cause to be furnished, Confidential Information
(defined below) to the Clearinghouse Member or the Committee Member;
NOW THEREFORE, the parties agree as follows:
1.
The term “Confidential Information” means all confidential information
relating to (a) the Company or (b) other Clearinghouse Members made available in connection
with (i) such other Clearinghouse Members’ equity interest in the Company or its Affiliates or
(ii) such other Clearinghouse Members’ status as a Participant (as defined in the Rules) that is
proprietary to the Company or other Clearinghouse Members, as applicable.
2.
The term “Representatives” means the Committee Member, the
Clearinghouse Member's Affiliates and the respective officers, directors, employees, attorneys,
accountants, and auditors of the Clearinghouse Member and its Affiliates, to the extent such
Persons have received any Confidential Information.
3.
In addition to any other confidentiality obligation to the Company, the
Clearinghouse Member, (a) shall, and shall direct its Representatives to, maintain in confidence
any and all Confidential Information, except as otherwise permitted in this Agreement, (b) shall
not disclose, and shall direct its Representatives not to disclose, Confidential Information to any
Person, except as otherwise permitted in this Agreement and (c) shall use the same degree of
care in protecting the confidentiality of the Confidential Information as it uses in protecting its
own information of a similar type.
4.
Notwithstanding the foregoing, the Clearinghouse Member and its
Representatives may disclose Confidential Information or portions thereof (i) if, in the case of
Confidential Information relating to the Company, the Company gives its prior written consent
thereto and if, in the case of Confidential Information relating to another Clearinghouse Member,
such other Clearinghouse Member gives its prior written consent thereto, (ii) in the event that the
Clearinghouse Member or any of its Representatives becomes legally compelled (by oral
questions, interrogatories, requests for information or documents, subpoena, civil investigative
demand or similar process, including by any regulator with oversight responsibility for the
Clearinghouse or the Clearinghouse Member or its Affiliates) to disclose, or is advised by legal
counsel that it is required by applicable law to disclose, any of the Confidential Information, or
(iii) if disclosure of such Confidential Information is requested or required by any governmental
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 283
authority or self-regulatory agency or organization or by any rule or regulation applicable to the
Clearinghouse Member. To the extent reasonably practicable and/or permitted under applicable
law, prior to any such disclosure under clause (ii) of this paragraph, the Clearinghouse Member
or its Representatives, as applicable, will use commercially reasonable efforts to provide the
Company or the applicable other Clearinghouse Member with prompt notice of such requirement
so that the Company or the applicable other Clearinghouse Member may seek a protective order
or other appropriate remedy and/or waive compliance with the provisions of this paragraph, and,
if, in the absence of a protective order or other remedy or the receipt of a waiver by the Company
or the applicable Clearinghouse Member, the Clearinghouse Member or its Representatives is or
are nonetheless legally compelled to disclose Confidential Information, the Clearinghouse
Member or its Representatives may, without liability hereunder, disclose such Confidential
Information.
5.
At such time as the Clearinghouse Member ceases to be a member of the
Clearinghouse or no longer has a right to appoint a member to the Risk Committee, the
Clearinghouse Member, at its option, shall return or destroy all Confidential Information in its or
its Representatives’ possession. Notwithstanding anything to the contrary in this Agreement, the
Clearinghouse Member and its Representatives may retain (i) Confidential Information such
Person is required to retain to comply with applicable law, (ii) any Confidential Information that
is contained in an archived computer system back up in accordance with the security and/or
disaster recovery procedures of such Person, and (iii) one copy of Confidential Information for
use solely in connection with any litigation, arbitration or like action with respect to any disputes
arising out of this Agreement; provided, however, that any such retained Confidential
Information shall remain subject to the ongoing obligations to treat and hold the same as
confidential in accordance with the terms and conditions of this Agreement.
6.
In the event that the Clearinghouse Member shall provide Confidential
Information to any Person in violation of this Agreement, the Clearinghouse Member shall be
responsible for the breach of this Agreement by such other Person.
7.
Notwithstanding Section 3 of this Agreement:
a.
The Clearinghouse Member and its Representatives may disclose
any Confidential Information for bona fide business purposes on a strict “need to
know” basis to the Clearinghouse Member and its Representatives, including the
Clearinghouse Member’s board of directors (or equivalent governing body); and
b.
The provisions of Section 3 of this Agreement shall not apply to,
and Confidential Information shall not include:
i.
any information that is or has become generally available to
the public other than as a result of a disclosure by the Clearinghouse
Member or its Representatives in breach of any of the provisions of this
Agreement, provided, that information disclosed by a Person to a
governmental authority or self-regulatory agency or organization in
connection with the formation, ownership and operation of the
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 284
Clearinghouse shall not be deemed “generally available to the public” as a
result of such disclosure;
ii.
any information that has been independently developed by
the Clearinghouse Member or its Representatives without violating any of
the provisions of this Agreement or any other similar contract to which the
Clearinghouse Member or its Representatives is or are bound;
iii.
any information that was available to the Clearinghouse
Member or its Representatives on a non-confidential basis prior to
disclosure; or
iv.
any information made available to the Clearinghouse
Member or its Representatives on a non-confidential basis by any third
party unless the Clearinghouse Member or its Representatives has or have
actual knowledge that such third party breached an obligation of
confidentiality to the Company or any other Person by making such
information available to the Clearinghouse Member or its Representatives.
8.
The parties hereto agree that irreparable damage may occur in the event
any provision of this Agreement was not performed in accordance with the terms hereof and that
the parties hereto shall be entitled to seek equitable relief in addition to any other remedy at law.
9.
The obligations of the Clearinghouse Member under this Agreement shall
survive until the eighteen (18) month anniversary of the time at which the Clearinghouse
Member ceases to be a member of the Clearinghouse.
10.
This Agreement shall be governed by, and construed in accordance with,
the laws of the State of New York, without giving effect to any choice of law or conflict of law
rules or provisions (whether of the State of New York or any other jurisdiction) that would cause
the application of the laws of any jurisdiction other than the State of New York. Any claim,
action, suit or proceeding seeking to enforce any provision of, or based on any matter arising out
of or in connection with, this Agreement or the transactions contemplated hereby shall be heard
and determined in any state courts of the State of New York or the United States District Court
located in the Southern District of New York, and each of the parties hereto hereby consents to
the exclusive jurisdiction of such courts (and of the appropriate appellate courts therefrom) in
any such claim, action, suit or proceeding and irrevocably waives, to the fullest extent permitted
by law, any objection which it may now or hereafter have to the laying of venue of any such
claim, action, suit or proceeding in any such court or that any such claim, action, suit or
proceeding which is brought in any such court has been brought in an inconvenient forum.
[SIGNATURE PAGE TO FOLLOW]
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 285
ICE Clear Credit LLC
By _________________________________
Name:
Title:
[CLEARINGHOUSE MEMBER]
By
____________________________
Name:
Title:
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 286
Schedule 511: Form of Risk Management Subcommittee
Confidentiality Agreement
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 287
Acknowledgement of Confidentiality
The undersigned individual (the “Member”) of the Risk Subcommittee (“Subcommittee”) of
ICE Clear Credit LLC:
1. Agrees that all Subcommittee discussions and all documents and other information
distributed to the Subcommittee that are not otherwise publicly available (the
“Confidential Information”) are confidential and proprietary to ICE Clear Credit LLC
and agrees (a) not to disclose Confidential Information to any person and (b) not to trade
for his/her own account or for or on behalf of any other person’s account, any securities,
options on securities, commodities, futures or options on futures, or any other derivative
or security to the extent such Confidential Information is material non-public
information;
2. Agrees to notify ICE Clear Credit LLC as soon as practicable in the event that the
undersigned is compelled, requested or required to disclose Confidential Information;
provided, that in each such case, notwithstanding anything to the contrary herein, the
undersigned shall be permitted to make such disclosure.
3. Confidential Information shall not include:
a. Any information that is or has become generally available to the public other than
as a result of a disclosure by the Member in breach of any of the provisions of
this Acknowledgement, provided, that information disclosed by a person to a
governmental authority or self-regulatory agency or organization in connection
with the formation, ownership and operation of ICE Clear Credit LLC shall not
be deemed “generally available to the public” as a result of such disclosure;
b. Any information that has been independently developed by the Member without
violating any of the provisions of this Acknowledgement or any other similar
contract to which the Member is bound;
c. Any information that was available to the Member on a non-confidential basis
prior to disclosure; or
d. Any information made available to the Member on a non-confidential basis by
any third party unless the member has actual knowledge that such third party
breached an obligation of confidentiality to ICE Clear Credit LLC or any other
person by making such information available to the Member.
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 288
4. The Member acknowledges that the obligations set forth in this Acknowledgement are in
addition to any other obligation with respect to confidentiality to which the Member is
bound.
5. This acknowledgement shall be governed by, and construed in accordance with, the laws
of the State of New York, without giving effect to any choice of law or conflict of law
rules or provisions (whether of the State of New York or any other jurisdiction) that
would cause the application of the laws of any jurisdiction other than the State of New
York. Any claim, action, suit or proceeding seeking to enforce any provision of, or based
on any matter arising out of or in connection with, this acknowledgement or the
transactions contemplated hereby shall be heard and determined in any state courts of the
State of New York or the United States District Court located in the Southern District of
New York, and each of the parties hereto hereby consents to the exclusive jurisdiction of
such courts (and of the appropriate appellate courts therefrom) in any such claim, action,
suit or proceeding and irrevocably waives, to the fullest extent permitted by law, any
objection which it may now or hereafter have to the laying of venue of any such claim,
action, suit or proceeding in any such court or that any such claim, action, suit or
proceeding which is brought in any such court has been brought in an inconvenient
forum.
By:
Print
Name:
Date:
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 289
Schedule 702: Schedule of Assessments for Missed Price Submissions
CDS
Type
Applicable Conditions
Index
Occurred on date other than an announced firm
trade date
Occurred on an announced firm trade date (last day
of each calendar quarter)
For each Missed Submissions other than the most
actively traded instrument in a family
For each Missed Submission in the most actively
traded instrument in a family (e.g., 5Y, 100 bps
coupon)
Index
Single
Name
Single
Name
Assessment
Amount (per
missed price)
$1,000
(no maximum)
$2,000
(no maximum)
$2,000*
$4,000*
*The maximum assessment is $10,000 per single name family per day, and $100,000 assessment for
all single name Missed Submissions during one day. A single name family is defined by reference
entity, identifier (seniority of debt), currency and restructuring clause.
Copyright © 2009-2016. ICE Clear Credit LLC.
All rights reserved.
Rev. 03/29/2016
Page 290